0001140361-17-030603.txt : 20170808 0001140361-17-030603.hdr.sgml : 20170808 20170808163553 ACCESSION NUMBER: 0001140361-17-030603 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 77 CONFORMED PERIOD OF REPORT: 20170630 FILED AS OF DATE: 20170808 DATE AS OF CHANGE: 20170808 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Cherry Hill Mortgage Investment Corp CENTRAL INDEX KEY: 0001571776 STANDARD INDUSTRIAL CLASSIFICATION: REAL ESTATE INVESTMENT TRUSTS [6798] IRS NUMBER: 461315605 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 001-36099 FILM NUMBER: 171015308 BUSINESS ADDRESS: STREET 1: 301 HARPER DRIVE STREET 2: SUITE 110 CITY: MOORESTOWN STATE: NJ ZIP: 08057 BUSINESS PHONE: (856) 626-2663 MAIL ADDRESS: STREET 1: 301 HARPER DRIVE STREET 2: SUITE 110 CITY: MOORESTOWN STATE: NJ ZIP: 08057 10-Q 1 form10q.htm 10-Q
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-Q

(Mark One)
☒
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2017

OR

☐
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from ________to ________
Commission file number 001-36099
 
 
CHERRY HILL MORTGAGE INVESTMENT CORPORATION
(Exact name of registrant as specified in its charter)
 
 
N/A
(Former name, former address and former fiscal year, if changed since last report)

Maryland
  
46-1315605
(State or Other Jurisdiction of Incorporation or Organization)
  
(I.R.S. Employer Identification No.)
     
301 Harper Drive, Suite 110
Moorestown, New Jersey
  
08057
(Address of Principal Executive Offices)
  
(Zip Code)

(877) 870 – 7005
(Registrant’s Telephone Number, Including Area Code)
 
 
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.   Yes  ☒   No  ☐
 
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).   Yes  ☒   No  ☐

Indicate by check mark whether the registrant is a large accelerated filed, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer
☐
Accelerated filer
☒
       
Non-accelerated filer
☐  (Do not check if a smaller reporting company)
Smaller reporting company
☐

Emerging growth company
☒

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.          ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ☐   No  ☒

As of August 8, 2017, there were 12,708,547 outstanding shares of common stock, $0.01 par value per share, of Cherry Hill Mortgage Investment Corporation.
 
CHERRY HILL MORTGAGE INVESTMENT CORPORATION

TABLE OF CONTENTS

   
Page
   
3
     
PART I.
 5
     
Item 1.
 5
     
  5
     
  6
     
  7
     
  8
     
  9
     
  10
     
Item 2.
 44
     
Item 3.
 64
     
Item 4.
 69
   
PART II.
 69
   
Item 1.
 69
   
Item 1A.
 69
     
Item 2.
 69
     
Item 3.
 69
     
Item 4.
 69
     
Item 5.
 69
     
Item 6.
 70
 
FORWARD-LOOKING INFORMATION

Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company,” “we,” “our” or “us”) makes forward-looking statements in this Quarterly Report on Form 10-Q within the meaning of Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). For these statements, the Company claims the protections of the safe harbor for forward-looking statements contained in such Sections. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond the Company’s control. These forward-looking statements include information about possible or assumed future results of the Company’s business, financial condition, liquidity, results of operations, plans and objectives. When the Company uses the words “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “could,” “would,” “may,” “potential” or the negative of these terms or other comparable terminology, the Company intends to identify forward-looking statements. Statements regarding the following subjects, among others, may be forward-looking:

•
the Company’s investment objectives and business strategy;

•
the Company’s ability to raise capital through the sale of its equity and debt securities;

•
the Company’s ability to obtain future financing arrangements and refinance existing financing arrangements as they mature;

•
the Company’s expected leverage;

•
the Company’s expected investments;

•
the Company’s ability to acquire mortgage servicing rights (“MSRs”);

•
estimates or statements relating to, and the Company’s ability to make, future distributions;

•
the Company’s ability to compete in the marketplace;

•
market, industry and economic trends;

•
recent market developments and actions taken and to be taken by the U.S. Government, the U.S. Treasury and the Board of Governors of the Federal Reserve System, the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, the Government National Mortgage Association and the U.S. Securities and Exchange Commission (“SEC”);

•
mortgage loan modification programs and future legislative actions;

•
the Company’s ability to maintain its qualification as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”);

•
the Company’s ability to maintain its exclusion from registration as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”);

•
projected capital and operating expenditures;

•
availability of investment opportunities in mortgage-related, real estate-related and other securities;

•
availability of qualified personnel;
 
•
prepayment rates; and

•
projected default rates.
 
The Company’s beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to it or are within its control. If any such change occurs, the Company’s business, financial condition, liquidity and results of operations may vary materially from those expressed in, or implied by, the Company’s forward-looking statements. These risks, along with, among others, the following factors, could cause actual results to vary from the Company’s forward-looking statements:

•
the factors discussed under “Part I, Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations” in this Quarterly Report on Form 10-Q and “Part I, Item 1A. Risk Factors” in the Company’s Annual Report on Form 10-K for the year ended December 31, 2016;

•
general volatility of the capital markets;

•
changes in the Company’s investment objectives and business strategy;

•
availability, terms and deployment of capital;

•
availability of suitable investment opportunities;

•
the Company’s dependence on its external manager, Cherry Hill Mortgage Management, LLC (“the Manager”), and the Company’s ability to find a suitable replacement if the Company or the Manager were to terminate the management agreement the Company has entered into with the Manager;

•
changes in the Company’s assets, interest rates or the general economy;

•
increased rates of default and/or decreased recovery rates on the Company’s investments;

•
changes in interest rates, interest rate spreads, the yield curve, prepayment rates or recapture rates;

•
limitations on the Company’s business due to compliance with requirements for maintaining its qualification as a REIT under the Code and its exclusion from registration as an investment company under the Investment Company Act; and

•
the degree and nature of the Company’s competition, including competition for its targeted assets.

Although the Company believes that the expectations reflected in the forward-looking statements are reasonable, it cannot guarantee future results, levels of activity, performance or achievements. These forward-looking statements apply only as of the date of this Quarterly Report on Form 10-Q. The Company is not obligated, and does not intend, to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.
PART I. FINANCIAL INFORMATION

Item 1.
Consolidated Financial Statements

Cherry Hill Mortgage Investment Corporation and Subsidiaries
Consolidated Balance Sheets
 (in thousands — except share data)

   
(unaudited)
June 30, 2017
    
December 31, 2016
  
Assets
            
RMBS, available-for-sale (including pledged assets of $1,251,770 and $608,560, respectively)
  
$
1,378,434
    
$
671,904
  
Investments in Servicing Related Assets at fair value (including pledged assets of $74,455 and $61,263, respectively)
    
74,455
      
61,263
  
Cash and cash equivalents
    
30,520
      
15,824
  
Restricted cash
    
19,282
      
22,469
  
Derivative assets
    
7,106
      
9,121
  
Receivables and other assets
    
12,830
      
12,297
  
Total Assets
  
$
1,522,627
    
$
792,878
  
Liabilities and Stockholders’ Equity
                
Liabilities
                
Repurchase agreements
  
$
1,197,440
    
$
594,615
  
Derivative liabilities
    
3,265
      
694
  
Notes payable
    
35,500
      
22,886
  
Dividends payable
    
6,228
      
4,816
  
Due to affiliates
    
2,533
      
1,894
  
Payables for unsettled trades
    
14,872
      
6,202
  
Accrued expenses and other liabilities
    
7,162
      
5,762
  
Total Liabilities
  
$
1,267,000
    
$
636,869
  
Stockholders’ Equity
                
Preferred stock, $0.01 par value, 100,000,000 shares authorized, none issued and outstanding as of June 30, 2017 and December, 31, 2016
  
$
-
    
$
-
  
Common stock, $0.01 par value, 500,000,000 shares authorized and 12,708,547 shares issued and outstanding as of June 30, 2017 and 500,000,000 shares authorized and 7,525,348 shares issued and outstanding as of December, 31, 2016
    
127
      
75
  
Additional paid-in capital
    
229,345
      
148,457
  
Retained earnings
    
22,807
      
12,093
  
Accumulated other comprehensive income (loss)
    
1,166
      
(6,393
)
Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity
  
$
253,445
    
$
154,232
  
Non-controlling interests in Operating Partnership
    
2,182
      
1,777
  
Total Stockholders’ Equity
  
$
255,627
    
$
156,009
  
Total Liabilities and Stockholders’ Equity
  
$
1,522,627
    
$
792,878
  

See accompanying notes to consolidated financial statements.
 
Cherry Hill Mortgage Investment Corporation and Subsidiaries
Consolidated Statements of Income (Loss)
(Unaudited)
(in thousands — except per share data)

   
Three Months Ended June 30,
    
Six Months Ended June 30,
  
   
2017
    
2016
    
2017
    
2016
  
Income
                        
Interest income
  
$
10,002
    
$
7,135
    
$
16,080
    
$
12,323
  
Interest expense
    
4,292
      
1,885
      
6,723
      
3,542
  
Net interest income
    
5,710
      
5,250
      
9,357
      
8,781
  
Servicing fee income
    
5,493
      
1,574
      
10,067
      
3,069
  
Servicing costs
    
991
      
501
      
2,218
      
903
  
Net servicing income (loss)
    
4,502
      
1,073
      
7,849
      
2,166
  
Other income (loss)
                                
Realized gain (loss) on RMBS, net
    
(77
)
    
235
      
(333
)
    
555
  
Realized gain (loss) on investments in Excess MSRs, net
    
-
      
-
      
6,678
      
-
  
Realized gain (loss) on derivatives, net
    
(1,797
)
    
(299
)
    
(2,814
)
    
(1,760
)
Unrealized gain (loss) on derivatives, net
    
(4,633
)
    
(1,228
)
    
(3,551
)
    
(6,426
)
Unrealized gain (loss) on investments in Excess MSRs
    
-
      
(149
)
    
-
      
(2,456
)
Unrealized gain (loss) on investments in MSRs
    
(4,507
)
    
(3,076
)
    
7,805
      
(5,308
)
Total Income (Loss)
    
(802
)
    
1,806
      
24,991
      
(4,448
)
Expenses
                                
General and administrative expense
    
1,045
      
822
      
2,020
      
1,630
  
Management fee to affiliate
    
1,162
      
690
      
2,054
      
1,380
  
Total Expenses
    
2,207
      
1,512
      
4,074
      
3,010
  
Income (Loss) Before Income Taxes
    
(3,009
)
    
294
      
20,917
      
(7,458
)
(Benefit from) provision for corporate business taxes
    
(1,344
)
    
10
      
(5
)
    
(580
)
Net Income (Loss)
    
(1,665
)
    
284
      
20,922
      
(6,878
)
Net (income) loss allocated to noncontrolling interests in Operating Partnership
    
119
      
(1
)
    
(293
)
    
98
  
Net Income (Loss) Applicable to Common Stockholders
  
$
(1,546
)
  
$
283
    
$
20,629
    
$
(6,780
)
Net income (Loss) Per Share of Common Stock
                                
Basic
  
$
(0.12
)
  
$
0.04
    
$
2.03
    
$
(0.90
)
Diluted
  
$
(0.12
)
  
$
0.04
    
$
2.03
    
$
(0.90
)
Weighted Average Number of Shares of Common Stock Outstanding
                                
Basic
    
12,695,090
      
7,509,543
      
10,164,564
      
7,509,543
  
Diluted
    
12,701,715
      
7,520,616
      
10,171,031
      
7,519,827
  

See accompanying notes to consolidated financial statements.
 
Cherry Hill Mortgage Investment Corporation and Subsidiaries
Consolidated Statements of Comprehensive Income (Loss)
(Unaudited)
(in thousands)

   
Three Months Ended June 30,
    
Six Months Ended June 30,
  
   
2017
    
2016
    
2017
    
2016
  
Net income (loss)
  
$
(1,665
)
  
$
284
    
$
20,922
    
$
(6,878
)
Other comprehensive income (loss):
                                
Net unrealized gain (loss) on RMBS
    
5,810
      
4,730
      
7,226
      
12,382
  
Reclassification of net realized (gain) loss on RMBS included in earnings
    
77
      
(235
)
    
333
      
(555
)
Other comprehensive income (loss)
    
5,887
      
4,495
      
7,559
      
11,827
  
Comprehensive income (loss)
  
$
4,222
    
$
4,779
    
$
28,481
    
$
4,949
  
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership
    
(43
)
    
68
      
399
      
70
  
Comprehensive income (loss) attributable to common stockholders
  
$
4,265
    
$
4,711
    
$
28,082
    
$
4,879
  

See accompanying notes to consolidated financial statements.
 
Cherry Hill Mortgage Investment Corporation and Subsidiaries
Consolidated Statements of Changes in Stockholders’ Equity
(Unaudited)
(in thousands — except share data)

   
Common
Stock
Shares
    
Common
Stock
Amount
    
Additional
Paid-in
Capital
    
Accumulated
Other
Comprehensive
Income (Loss)
    
Retained
Earnings
(Deficit)
    
Non-
Controlling
Interest in
Operating
Partnership
    
Total
Stockholders’
Equity
  
Balance, December 31, 2015
    
7,519,038
    
$
75
 
  
$
148,332
    
$
(197
)
  
$
3,133
    
$
994
    
$
152,337
  
Issuance of common stock
    
9,465
      
-
(A)
    
75
      
-
      
-
      
-
      
75
  
Net income
    
-
      
-
 
    
-
      
-
      
(6,780
)
    
(98
)
    
(6,878
)
Other comprehensive income
    
-
      
-
      
-
      
11,827
      
-
      
-
      
11,827
  
LTIP-OP Unit awards
    
-
      
-
 
    
-
      
-
      
-
      
282
      
282
  
Distribution paid on LTIP-OP Units
    
-
      
-
      
-
      
-
      
-
      
(102
)
    
(102
)
Common dividends declared, $0.98 per share
    
-
      
-
 
    
-
      
-
      
(7,369
)
    
-
      
(7,369
)
Balance, June 30, 2016
    
7,528,503
    
$
75
    
$
148,407
    
$
11,630
    
$
(11,016
)
  
$
1,076
    
$
150,172
  
 
              
 
                                        
Balance, December 31, 2016
    
7,525,348
    
$
75
    
$
148,457
    
$
(6,393
)
  
$
12,093
    
$
1,777
    
$
156,009
  
Issuance of common stock
    
5,183,199
      
52
 
    
80,888
      
-
      
-
      
-
      
80,940
  
Net income
    
-
      
-
      
-
      
-
      
20,629
      
293
      
20,922
  
Other comprehensive income
    
-
      
-
 
    
-
      
7,559
      
-
      
-
      
7,559
  
LTIP-OP Unit awards
    
-
      
-
      
-
      
-
      
-
      
281
      
281
  
Distribution paid on LTIP-OP Units
    
-
      
-
 
    
-
      
-
      
-
      
(169
)
    
(169
)
Common dividends declared, $0.98 per share
    
-
      
-
      
-
      
-
      
(9,915
)
    
-
      
(9,915
)
Balance, June 30, 2017
    
12,708,547
    
$
127
 
  
$
229,345
    
$
1,166
    
$
22,807
    
$
2,182
    
$
255,627
  
 
(A)
de minimis ($95.00 rounds to $0.00).

See accompanying notes to consolidated financial statements.
 
Cherry Hill Mortgage Investment Corporation and Subsidiaries
Consolidated Statements of Cash Flows
(Unaudited)
(in thousands)

   
Six Months Ended June 30,
  
   
2017
    
2016
  
Cash Flows From Operating Activities
            
Net income (loss)
  
$
20,922
    
$
(6,878
)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
  
Realized (gain) loss on RMBS, net
    
333
      
(555
)
Realized gain (loss) on investments in Excess MSRs, net
    
(6,678
)
    
-
  
Amortization of premiums on investment securities
    
3,268
      
1,851
  
Change in fair value of investments in Servicing Related Assets
    
(7,805
)
    
7,764
  
Unrealized (gain) loss on derivatives, net
    
3,551
      
6,426
  
Realized (gain) loss on derivatives, net
    
2,814
      
1,760
  
LTIP-OP Unit awards
    
281
      
282
  
Changes in:
                
Receivables and other assets
    
(368)
      
(596
)
Due to affiliate
    
639
      
134
  
Payables for unsettled trades
    
8,670
      
4,421
  
Accrued expenses and other liabilities
    
2,812
      
3,795
  
Net cash provided by (used in) operating activities
  
$
28,439
    
$
18,404
  
Cash Flows From Investing Activities
                
Purchase of RMBS
    
(749,246
)
    
(73,393
)
Principal paydown of RMBS
    
39,064
      
24,514
  
Proceeds from sale of RMBS
    
7,610
      
45,501
  
Principal paydown of Excess MSRs
    
-
      
7,994
  
Proceeds from sale of Excess MSRs
    
35,905
      
-
  
Acquisition of MSRs
    
(34,779
)
    
(15,297
)
Purchase of derivatives
    
(1,779
)
    
(2,006
)
Net cash provided by (used in) investing activities
  
$
(703,225
)
  
$
(12,687
)
Cash Flows From Financing Activities
                
Changes in restricted cash
    
3,187
      
(5,909
)
Borrowings under repurchase agreements
    
1,697,683
      
1,049,585
  
Repayments of repurchase agreements
    
(1,094,858
)
    
(979,070
)
Proceeds from Federal Home Loan Bank advances
    
-
      
7,000
  
Repayments of Federal Home Loan Bank advances
    
-
      
(69,250
)
Proceeds from bank loans
    
22,000
      
-
  
Principal paydown of bank loans
    
(9,386
)
    
(1,460
)
Dividends paid
    
(9,915
)
    
(7,369
)
LTIP-OP Units distributions paid
    
(169
)
    
(102
)
Issuance of common stock, net of offering costs
    
80,940
      
75
  
Net cash provided by (used in) financing activities
  
$
689,482
    
$
(6,500
)
Net Increase (Decrease) in Cash and Cash Equivalents
  
$
14,696
    
$
(783
)
Cash and Cash Equivalents, Beginning of Period
    
15,824
      
10,603
  
Cash and Cash Equivalents, End of Period
  
$
30,520
    
$
9,820
  
Supplemental Disclosure of Cash Flow Information
                
Cash paid during the period for interest expense
  
$
3,550
    
$
3,653
  
Dividends declared but not paid
  
$
6,228
    
$
3,689
  

See accompanying notes to consolidated financial statements.
 
Cherry Hill Mortgage Investment Corporation and Subsidiaries

Notes to Consolidated Financial Statements

June 30, 2017

(Unaudited)
 
Note 1 — Organization and Operations

Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company”) was organized in the state of Maryland on October 31, 2012 to invest in residential mortgage assets in the United States. Under the Company’s charter, as of December 31, 2012, the Company was authorized to issue 1,000 shares of common stock. On June 6, 2013, the Company amended and restated its charter and increased its authorized capitalization. Accordingly, at December 31, 2013, the Company was authorized to issue up to 500,000,000 shares of common stock and 100,000,000 shares of preferred stock, each with a par value of $0.01 per share.

The accompanying interim consolidated financial statements include the accounts of the Company’s subsidiaries, Cherry Hill Operating Partnership LP (“Operating Partnership”), Cherry Hill QRS I, LLC, Cherry Hill QRS II, LLC, Cherry Hill QRS III, LLC (“QRS III”), Cherry Hill QRS IV, LLC (“QRS IV”), CHMI Solutions, Inc. (“CHMI Solutions”) and Aurora Financial Group, Inc. (“Aurora”).

On October 9, 2013, the Company completed an initial public offering (the “IPO”) and a concurrent private placement of its common stock. The Company did not conduct any activity prior to the IPO and the concurrent private placement. Substantially all of the net proceeds from the IPO and the concurrent private placement were used to invest in excess mortgage servicing rights on residential mortgage loans (“Excess MSRs”) and residential mortgage-backed securities (“RMBS” or “securities”), the payment of principal and interest on which is guaranteed by a U.S. government agency or a U.S. government sponsored enterprise (“Agency RMBS”).

On March 29, 2017, the Company issued and sold 5,175,000 shares of its common stock, par value $0.01 per share, raising approximately $81.1 million after underwriting discounts and commissions but before expenses of approximately $229,000. All of the net proceeds were used to invest on a temporary basis in RMBS pending re-deployment of a substantial portion of those proceeds into the acquisition of MSRs.

The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company established by Mr. Stanley Middleman. The Manager is a party to a Services Agreement with Freedom Mortgage Corporation (“Freedom Mortgage”) which is owned and controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7.

The Company has elected to be taxed as a real estate investment trust (“REIT”), as defined under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its short taxable year ended December 31, 2013. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes.
 

Note 2 — Basis of Presentation and Significant Accounting Policies

Basis of Accounting

The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein.

Emerging Growth Company Status

On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated interim financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated interim financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard.

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of: the fair value of Excess MSRs and MSRs (collectively, “Servicing Related Assets”); RMBS and derivatives; credit losses, including the period of time during which the Company anticipates an increase in the fair values of RMBS sufficient to recover unrealized losses on those RMBS; and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the interim consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company’s estimates are inherently subjective in nature. Actual results could differ from the Company’s estimates, and the differences may be material.

Risks and Uncertainties

In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing.

The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost.
 
Investments in RMBS

Classification – The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income (loss), to the extent impairment losses, if any, are considered temporary. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described below.

Fair value is determined under the guidance of Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”). The Company determines fair value of its RMBS investments based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. Management’s judgment is used to arrive at the fair values of RMBS taking into account prices obtained from third-party pricing providers and other applicable market data. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.

Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. Approximately $14.9 million in Agency RMBS purchased, but not yet settled, was payable at June 30, 2017. Approximately $6.2 million in Agency RMBS purchased, but not yet settled, was payable at December 31, 2016. All RMBS sold in the year ended December 31, 2016 were settled prior to year-end.

Revenue Recognition – Interest income from coupon payments is accrued based on the outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are accreted into interest income over the projected lives of the securities using the effective interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus on prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately $4.3 million and $2.0 million in interest income was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets. For further discussion on Receivables and other assets, see Note 13.

Impairment – The Company evaluates its RMBS, on a quarterly basis, to assess whether a decline in the fair value below the amortized cost basis is an other-than-temporary impairment (“OTTI”). The presence of OTTI is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if the Company (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security’s amortized cost basis, even if the Company does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment is recognized currently in earnings and the cost basis of the security is adjusted. However, if the Company does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the OTTI is separated into (i) the estimated amount relating to credit loss, or the credit component, and (ii) the amount relating to all other factors, or the non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted into interest income in accordance with the effective interest method. The Company recorded approximately $77,000 of OTTI charges during the three month and six month periods ended June 30, 2017. OTTI recorded during the year ended December 31, 2016 was approximately $173,000. OTTI has been classified within “Realized gain (loss) on RMBS, net” on the consolidated statements of income.

Investments in Excess MSRs

As a result of the Company’s sale of its remaining Excess MSRs in February 2017, there were no Excess MSRs at June 30, 2017.
 
Classification – The Company had elected the fair value option to record its investments in Excess MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, the Company recorded a valuation adjustment on its investments in Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. In determining the valuation of Excess MSRs in accordance with ASC 820, management used internally developed models that were primarily based on observable market-based inputs but which also included unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.

Revenue Recognition – Excess MSRs were aggregated into pools as applicable. Each pool of Excess MSRs was accounted for in the aggregate. Interest income for Excess MSRs was accreted into interest income on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount over the expected life of the underlying mortgages. Changes to expected cash flows resulted in a cumulative retrospective adjustment, which were recorded in the period in which the change in expected cash flows occurred. Under the retrospective method, the interest income recognized for a reporting period is measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis was calculated as the present value of estimated future cash flows using an effective yield, which was the yield that equated all past actual and estimated future cash flows to the initial investment. The difference between the fair value of Excess MSRs and their amortized cost basis was recorded on the consolidated statements of income statement as “Unrealized gain (loss) on investments in Excess MSRs.” Fair value was generally determined by discounting the expected future cash flows using discount rates that incorporated the market risks and liquidity premium specific to the Excess MSRs and, therefore, may have differed from their effective yields. The sale of investments in Excess MSRs was recognized upon settlement date. Approximately $1.3 million and $5.6 million in Excess MSR cash flow was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets.

In connection with the sale of its Excess MSRs, the Company elected a settlement date accounting policy to account for the gain on sale from that transaction. For a further discussion of the Company’s sale of its Excess MSRs, see Note 7.

Investments in MSRs

Classification – The Company’s MSRs represent the contractual right to service mortgage loans. The Company has elected the fair value option to record its investments in MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs as well as servicing fee income and servicing expenses are reported on the consolidated statements of income. In determining the valuation of MSRs in accordance with ASC 820, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. For reporting purposes, conventional conforming loans are aggregated into one category.

Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. Approximately $2.4 million and $1.4 million in reimbursable servicing advances were receivable at June 30, 2017 and December 31, 2016, respectively, and have been classified within “Receivables and other assets” on the consolidated balance sheets. Although advances on Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) MSRs made in accordance with the relevant guidelines are generally recoverable, the recoverability of similar advances made on Government National Mortgage Association (“Ginnie Mae”) MSRs may be limited under the rules and regulations of the U.S. Department of Housing and Urban Development, the Department of Veterans Affairs (the “VA”) and the Federal Housing Administration (“FHA”). Because the Ginnie Mae MSRs were only acquired in February 2017, and advances on the Fannie Mae and Freddie Mac MSRs are expected to be recoverable, the Company has determined that no reserves for unrecoverable advances are necessary at June 30, 2017 and December 31, 2016. For further discussion on the Company’s receivables and other assets, including the Company’s servicing advances, see Note 13.
 
Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of comprehensive income. The difference between the fair value of MSRs and their amortized cost basis is recorded on the consolidated statements of income as “Unrealized gain (loss) on investments in MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields.

As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the applicable agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 31, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 2017. Four of the five loans purchased were sold during the six month period ended June 30, 2017, and the Company did not recognize any losses on such sales.

Derivatives and Hedging Activities

Derivative transactions include swaps, swaptions, Treasury futures and “to-be-announced” securities (“TBAs”). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and Treasury futures are used for duration risk and basis risk management purposes. The decision whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise.

The Company’s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments.

Classification – All derivatives are recognized as either assets or liabilities on the consolidated balance sheets and measured at fair value. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under a contract may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable by law. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company believes a legal right of offset exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8.
 
Revenue Recognition – With respect to derivatives that have not been designated as hedges, any net payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized and unrealized gains (losses) on derivatives, net” in the consolidated statements of income.

Cash and Cash Equivalents and Restricted Cash

The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties (i) as collateral against the Company’s derivatives (approximately $13.5 million and $1.1 million at June 30, 2017 and December 31, 2016, respectively), (ii) as collateral for borrowings under its repurchase agreements (approximately $5.8 million and $20.4 million at June 30, 2017 and December 31, 2016, respectively) and (iii) as collateral for outstanding borrowings on a $25 million term loan secured by a pledge of the Company’s portfolio of Excess MSRs ($0.0 at June 30, 2017 and approximately $1.1 million at December 31, 2016). For further information on the restricted cash as it relates to the term loan, see Note 12.

Due to Affiliates

This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7.

Income Taxes

The Company elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. The Company expects to continue to qualify to be treated as a REIT. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its REIT taxable income to stockholders and does not engage in prohibited transactions. The Company’s taxable REIT subsidiaries (“TRSs”), CHMI Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income.

The Company accounts for income taxes in accordance with ASC 740, Income Taxes. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties.
 
Realized Gain (Loss) on Investments, Net

The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands):
 
   
Three Months Ended June 30,
    
Six Months Ended June 30,
  
   
2017
    
2016
    
2017
    
2016
  
Realized gain (loss) on RMBS, net
                        
Gain on RMBS
  
$
-
    
$
235
    
$
-
    
$
555
  
Loss on RMBS
    
(77
)
    
-
      
(333
)
    
-
  
Net realized gain (loss) on RMBS
    
(77
)
    
235
      
(333
)
    
555
  
Realized gain (loss) on derivatives, net
    
(1,797
)
    
(299
)
    
(2,814
)
    
(1,760
)
Unrealized gain (loss) on derivatives, net
    
(4,633
)
    
(1,228
)
    
(3,551
)
    
(6,426
)
Realized gain (loss) on Excess MSRs, net
    
-
      
-
      
6,678
      
-
  
Unrealized gain (loss) on Excess MSRs, net
    
-
      
(149
)
    
-
      
(2,456
)
Unrealized gain (loss) on MSRs, net
    
(4,507
)
    
(3,076
)
    
7,805
      
(5,308
)
Realized gain (loss) on acquired assets, net
    
-
      
-
      
-
      
-
  
Total
  
$
(11,014
)
  
$
(4,517
)
  
$
7,785
    
$
(15,395
)
 
Repurchase Agreements and Interest Expense

The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis.

Dividends Payable

Because the Company is organized and operated as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly and special dividend payments. The Company accrues the dividend payable on the dividend declaration date, which causes an offsetting reduction in retained earnings as of the dividend declaration date.

Comprehensive Income

Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale.

Recent Accounting Pronouncements

Revenue Recognition – In May 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers, which supersedes the revenue recognition requirements in ASC 606, Revenue Recognition, and most industry-specific guidance throughout the Industry Topics of the Codification. Under the new revenue recognition guidance, entities are required to identify the contract with a customer, identify the performance obligations in the contract, determine the transaction price, allocate the transaction price to the performance obligations in the contract and recognize revenue when the entity satisfies a performance obligation. In April 2015, the FASB voted for a one-year deferral of the effective date, resulting in this new guidance being effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017. Subsequent to the initial issuance, the FASB has continued to issue updates to this guidance to provide additional clarification and implementation instructions to issuers regarding (i) principal versus agent considerations, (ii) identifying performance obligations, (iii) licensing, and (iv) narrow-scope improvements and practical expedients relating to assessing collectability, presentation of sales taxes, non-cash consideration, and completed contracts and contract modifications at transition. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU No. 2014-09. The Company evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans, the Company considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. As a result, the Company does not expect the adoption of ASU No. 2014-09 to have a material impact on its consolidated financial statements.
 
Credit Losses − In June 2016, the FASB issued ASU 2016-13, Financial Instruments—Credit Losses, an accounting standards update that changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on Available-for-Sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. This guidance requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. The Company is evaluating the adoption of this ASU.

Statement of Cash Flows − In August 2016, the FASB issued ASU 2016-15, Classification of Certain Cash Receipts and Cash Payments, an accounting standards update that amends the guidance on the classification of certain cash receipts and cash payments presented within the statement of cash flows to reduce the existing diversity in practice. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements.

Income Taxes − In October 2016, the FASB issued ASU 2016-16, Income Taxes, an accounting standards update that amends the guidance on the classification of income taxes related to the intra-entity transfer of assets other than inventory. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements. However, the significance of adoption is dependent on the nature of the transactions and corresponding tax laws in effect at the time of adoption.

Restricted Cash − In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows, an accounting standards update that amends the guidance on restricted cash within the statement of cash flows. The update amends the classification of restricted cash and cash equivalents to be included within cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The adoption will impact the presentation of the cash flows, but will not otherwise have a material impact on the consolidated results of operations or financial condition.

Changes in Presentation

Certain prior period amounts have been reclassified to conform to current period presentation.
 
Note 3 — Segment Reporting

The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other” which consists primarily of general and administrative expenses, including fees paid to the Company’s directors and management fees and reimbursements paid to the Manager pursuant to the Management Agreement (See Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments or general and administrative expenses.

Summary financial data with respect to the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):

   
Servicing
Related Assets
    
RMBS
    
All Other
    
Total
  
Three Months Ended June 30, 2017
                        
Interest income
  
$
-
    
$
10,002
    
$
-
    
$
10,002
  
Interest expense
    
123
      
4,169
      
-
      
4,292
  
Net interest income
    
(123
)
    
5,833
      
-
      
5,710
  
Servicing fee income
    
5,493
      
-
      
-
      
5,493
  
Servicing costs
    
991
      
-
      
-
      
991
  
Net servicing income
    
4,502
      
-
      
-
      
4,502
  
Other income
    
(4,507
)
    
(6,507
)
    
-
      
(11,014
)
Other operating expenses
    
-
      
-
      
2,207
      
2,207
  
(Benefit from) provision for corporate business taxes
    
(1,344
)
    
-
      
-
      
(1,344
)
Net income (loss)
  
$
1,216
 
  
$
(674
)
  
$
(2,207
)
  
$
(1,665
)
Three Months Ended June 30, 2016
                                
Interest income
  
$
3,085
    
$
4,050
    
$
-
    
$
7,135
  
Interest expense
    
333
      
1,552
      
-
      
1,885
  
Net interest income
    
2,752
      
2,498
      
-
      
5,250
  
Servicing fee income
    
1,574
      
-
      
-
      
1,574
  
Servicing costs
    
501
      
-
      
-
      
501
  
Net servicing income
    
1,073
      
-
      
-
      
1,073
  
Other income
    
(3,225
)
    
(1,292
)
    
-
      
(4,517
)
Other operating expenses
    
-
      
-
      
1,512
      
1,512
  
(Benefit from) provision for corporate business taxes
    
10
      
-
      
-
      
10
  
Net income (loss)
  
$
590
    
$
1,206
    
$
(1,512
)
  
$
284
  
Six Months Ended June 30, 2017
                                
Interest income
  
$
523
    
$
15,557
    
$
-
    
$
16,080
  
Interest expense
    
237
      
6,486
      
-
      
6,723
  
Net interest income
    
286
      
9,071
      
-
      
9,357
  
Servicing fee income
    
10,067
      
-
      
-
      
10,067
  
Servicing costs
    
2,218
      
-
      
-
      
2,218
  
Net servicing income
    
7,849
      
-
      
-
      
7,849
  
Other income
    
14,483
      
(6,698
)
    
-
      
7,785
  
Other operating expenses
    
-
      
-
      
4,074
      
4,074
  
(Benefit from) provision for corporate business taxes
    
(5
)
    
-
      
-
      
(5
)
Net income (loss)
  
$
22,623
    
$
2,373
    
$
(4,074
)
  
$
20,922
  
Six Months Ended June 30, 2016
                                
Interest income
  
$
4,529
    
$
7,794
    
$
-
    
$
12,323
  
Interest expense
    
673
      
2,869
      
-
      
3,542
  
Net interest income
    
3,856
      
4,925
      
-
      
8,781
  
Servicing fee income
    
3,069
      
-
      
-
      
3,069
  
Servicing costs
    
903
      
-
      
-
      
903
  
Net servicing income
    
2,166
      
-
      
-
      
2,166
  
Other income
    
(7,764
)
    
(7,631
)
    
-
      
(15,395
)
Other operating expenses
    
-
      
-
      
3,010
      
3,010
  
(Benefit from) provision for corporate business taxes
    
(580
)
    
-
      
-
      
(580
)
Net income (loss)
  
$
(1,162
)
  
$
(2,706
)
  
$
(3,010
)
  
$
(6,878
)
 
Balance Sheet
 
June 30, 2017
                        
Investments
  
$
74,455
    
$
1,378,434
    
$
-
    
$
1,452,889
  
Other assets
    
5,768
      
30,523
      
33,447
      
69,738
  
Total assets
    
80,223
      
1,408,957
      
33,447
      
1,522,627
  
Debt
    
35,500
      
1,197,440
      
-
      
1,232,940
  
Other liabilities
    
2,662
      
20,942
      
10,456
      
34,060
  
Total liabilities
    
38,162
      
1,218,382
      
10,456
      
1,267,000
  
Book value
  
$
42,061
    
$
190,575
    
$
22,991
    
$
255,627
  

December 31, 2016
                        
Investments
  
$
61,263
    
$
671,904
    
$
-
    
$
733,167
  
Other assets
    
8,826
      
32,495
      
18,390
      
59,711
  
Total assets
    
70,089
      
704,399
      
18,390
      
792,878
  
Debt
    
22,886
      
594,615
      
-
      
617,501
  
Other liabilities
    
2,481
      
9,490
      
7,397
      
19,368
  
Total liabilities
    
25,367
      
604,105
      
7,397
      
636,869
  
Book value
  
$
44,722
    
$
100,294
    
$
10,993
    
$
156,009
  
 
Note 4 — Investments in RMBS

All of the Company’s RMBS are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income except for securities that are OTTI (dollars in thousands):

Summary of RMBS Assets

As of June 30, 2017

 
Original
Face
Value
        
Gross Unrealized
        
Number
of
Securities
  
Weighted Average
  
Asset Type
      
Book
Value
    
Gains
    
Losses
    
Carrying
Value(A)
      
Rating
  
Coupon
    
Yield(C)
    
Maturity
(Years)(D)
  
RMBS
                                    
 
                  
Fannie Mae
  
$
933,876
    
$
887,558
    
$
2,951
    
$
(5,308
)
  
$
885,201
      
123
  
(B)
    
3.80
%
    
3.60
%
    
26
  
Freddie Mac
    
450,161
      
426,039
      
1,418
      
(2,201
)
    
425,256
      
52
  
(B)
    
3.79
%
    
3.60
%
    
26
  
CMOs
    
74,225
      
63,649
      
4,328
      
-
      
67,977
      
15
  
Unrated
    
5.04
%
    
5.33
%
    
12
  
Total/Weighted Average
  
$
1,458,262
    
$
1,377,246
    
$
8,697
    
$
(7,509
)
  
$
1,378,434
      
190
  
 
    
3.85
%
    
3.68
%
    
25
  
 
As of December 31, 2016

Original
Face
 Value
      
Gross Unrealized
    
Number
of
Securities
  
Weighted Average
  
Asset Type
  
Book
 Value
  
Gains
  
Losses
  
Carrying
Value(A)
    
Rating
Coupon
  
Yield(C)
  
 
Maturity
(Years)(D)
  
RMBS
                        
 
            
Fannie Mae
  
$
493,645
    
$
454,012
    
$
1,517
    
$
(6,592
)
  
$
448,937
      
68
  
(B)
    
3.74
%
    
3.52
%
    
24
  
Freddie Mac
    
222,469
      
200,207
      
587
      
(2,691
)
    
198,103
      
27
  
(B)
    
3.62
%
    
3.44
%
    
26
  
CMOs
    
34,596
      
24,086
      
857
      
(79
)
    
24,864
      
9
  
Unrated
    
4.78
%
    
4.24
%
    
12
  
Total/Weighted Average
  
$
750,710
    
$
678,305
    
$
2,961
    
$
(9,362
)
  
$
671,904
      
104
  
 
    
3.74
%
    
3.53
%
    
24
  
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity.

Summary of RMBS Assets by Maturity

As of June 30, 2017

 
Original
Face
Value
        
Gross Unrealized
        
Number
of
Securities
  
Weighted Average
  
Years to Maturity
      
Book
Value
    
Gains
    
Losses
    
Carrying
Value(A)
      
Rating
  
Coupon
    
Yield(C)
    
Maturity
(Years)(D)
  
5-10 Years
  
$
16,069
    
$
16,696
    
$
283
    
$
(262
)
  
$
16,717
      
3
  
(B)
    
4.27
%
    
4.09
%
    
8
  
Over 10 Years
    
1,442,193
      
1,360,550
      
8,414
      
(7,247
)
    
1,361,717
      
187
  
(B)
    
3.85
%
    
3.67
%
    
26
  
Total/Weighted Average
  
$
1,458,262
    
$
1,377,246
    
$
8,697
    
$
(7,509
)
  
$
1,378,434
      
190
  
 
    
3.85
%
    
3.68
%
    
25
  

As of December 31, 2016

 
Original
Face
Value
        
Gross Unrealized
        
Number
of
Securities
  
Weighted Average
  
Years to Maturity
      
Book
Value
    
Gains
    
Losses
    
Carrying
Value(A)
      
Rating
  
Coupon
    
Yield(C)
    
Maturity
(Years)(D)
  
5-10 Years
  
$
16,069
    
$
17,110
    
$
185
    
$
(454
)
  
$
16,841
      
3
  
(B)
    
4.18
%
    
3.94
%
    
8
  
Over 10 Years
    
734,641
      
661,195
      
2,776
      
(8,908
)
    
655,063
      
101
  
(B)
    
3.73
%
    
3.52
%
    
24
  
Total/Weighted Average
  
$
750,710
    
$
678,305
    
$
2,961
    
$
(9,362
)
  
$
671,904
      
104
  
 
    
3.74
%
    
3.53
%
    
24
  
 
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity.

At June 30, 2017 and December 31, 2016, the Company pledged Agency RMBS investments with a carrying value of approximately $1,251.8 million and $608.6 million, respectively, as collateral for repurchase agreements. At June 30, 2017 and December 31, 2016, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives.

Unrealized losses that are considered OTTI are recognized currently in earnings. Based on management’s analysis of these securities, the performance of the underlying loans and changes in market factors, management determined that unrealized losses as of the balance sheet date on the Company’s securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment, and such losses were considered temporary. The Company performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. Such market factors include changes in market interest rates and credit spreads and certain macroeconomic events, the events of which will not directly impact the Company’s ability to collect amounts contractually due. Management continually evaluates the credit status of each of the Company’s securities and the collateral supporting those securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. Significant judgment is required in this analysis. In connection with the above, the Company weighs the fact that all of its investments in RMBS are guaranteed by U.S. government agencies or U.S. government sponsored entities.

The Company recorded approximately $77,000 of OTTI charges during the three month and six month periods ended June 30, 2017. There was approximately $173,000 of OTTI recorded during the year ended December 31, 2016.

The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands):

RMBS Unrealized Loss Positions

As of June 30, 2017
 
                           
Weighted Average
  
Duration in Loss
Position
  
Original
Face
Value
    
Book
Value
    
Gross
Unrealized
Losses
    
Carrying
Value(A)
    
Number
of
Securities
  
Rating
  
Coupon
    
Yield(C)
    
Maturity
(Years)(D)
  
Less than Twelve Months
  
$
583,304
    
$
562,462
    
$
(7,187
)
  
$
555,275
      
77
  
(B)
    
3.69
%
    
3.48
%
    
25
  
Twelve or More Months
    
9,825
      
9,921
      
(323
)
    
9,598
      
1
  
(B)
    
3.50
%
    
3.29
%
    
29
  
Total/Weighted Average
  
$
593,129
    
$
572,383
    
$
(7,510
)
  
$
564,873
      
78
  
 
    
3.69
%
    
3.48
%
    
25
  


As of December 31, 2016
                           
Weighted Average
  
Duration in Loss
Position
  
Original
Face
Value
    
Book
Value
    
Gross
Unrealized
Losses
    
Carrying
Value(A)
    
Number
of
Securities
  
Rating
  
Coupon
    
Yield(C)
    
Maturity
(Years)(D)
  
Less than Twelve Months
  
$
494,847
    
$
476,129
    
$
(9,362
)
  
$
466,767
      
68
  
(B)
    
3.65
%
    
3.40
%
    
25
  
Twelve or More Months
    
-
      
-
      
-
      
-
      
-
        
-
%
    
-
%
    
-
  
Total/Weighted Average
  
$
494,847
    
$
476,129
    
$
(9,362
)
  
$
466,767
      
68
  
 
    
3.65
%
    
3.40
%
    
25
  
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, the Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity.
 
Note 5 — Investments in Servicing Related Assets

Excess MSRs

In October 2013, the Company entered into an agreement (“Excess MSR Agreement 1”) with Freedom Mortgage to invest in Excess MSRs with Freedom Mortgage. Freedom Mortgage originated the mortgage servicing rights on the related pool of residential fixed rate Ginnie Mae-eligible FHA and VA mortgage loans with an aggregate UPB of approximately $10.0 billion (“Excess MSR Pool 1”). Freedom Mortgage was entitled to receive an initial weighted average total mortgage servicing amount of approximately 28 basis points (“bps”) on the performing UPB, as well as any ancillary income from Excess MSR Pool 1. Pursuant to Excess MSR Agreement 1, Freedom Mortgage performed all servicing functions and advancing functions related to Excess MSR Pool 1 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 8 bps. The remainder, or “excess mortgage servicing amount,” was initially equal to a weighted average of 20 bps.

Pursuant to Excess MSR Agreement 1, the Company acquired the right to receive 85% of the excess mortgage servicing amount on Excess MSR Pool 1 and, subject to certain limitations and pursuant to a recapture agreement (the “Excess MSR Pool 1—Recapture Agreement”), 85% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represented refinancings of loans in Excess MSR Pool l (which loans then become part of Excess MSR Pool 1) for approximately $60.6 million. Freedom Mortgage co-invested, pari passu with the Company, in 15% of the Excess MSRs. Freedom Mortgage, as servicer, also retained the ancillary income and the servicing obligations and liabilities.

In October 2013, the Company entered into an agreement (“Excess MSR Agreement 2”) with Freedom Mortgage to invest with Freedom Mortgage in another pool of Excess MSRs. Freedom Mortgage acquired the mortgage servicing rights from a third-party seller on a pool of residential Ginnie Mae-eligible VA hybrid adjustable rate mortgage loans with an outstanding aggregate principal balance of approximately $10.7 billion (“Excess MSR Pool 2”). Freedom Mortgage was entitled to receive an initial weighted average total mortgage servicing amount of 44 bps on the performing UPB, as well as any ancillary income from Excess MSR Pool 2. Pursuant to Excess MSR Agreement 2, Freedom Mortgage performed all servicing functions and advancing functions related to Excess MSR Pool 2 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 10 bps. Therefore, the remainder, or “excess mortgage servicing amount” was initially equal to a weighted average of 34 bps.

Pursuant to Excess MSR Agreement 2, the Company acquired the right to receive 50% of the excess mortgage servicing amount on Excess MSR Pool 2 and, subject to certain limitations and pursuant to a recapture agreement (the “Excess MSR Pool 2—Recapture Agreement”), 50% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represented refinancings of loans in Excess MSR Pool 2 (which loans then become part of Excess MSR Pool 2) for approximately $38.4 million. Freedom Mortgage co-invested, pari passu with the Company, in 50% of the Excess MSRs. Freedom Mortgage, as servicer, also retained the ancillary income and the servicing obligations and liabilities.

In October 2013, the Company also entered into a flow and bulk Excess MSR purchase agreement related to future purchases of Excess MSRs from Freedom Mortgage (the “Flow and Bulk Excess MSR Purchase Agreement”). On February 28, 2014, pursuant to the Flow and Bulk Excess MSR Purchase Agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the first quarter of 2014 with an UPB of approximately $76.8 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $567,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.

On March 31, 2014, pursuant to the Flow and Bulk Excess MSR Purchase Agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by a third party originator with an aggregate UPB of approximately $159.8 million. Freedom Mortgage purchased the MSRs on these mortgage loans from a third party on January 31, 2014. The Company acquired an approximate 71% interest in the Excess MSRs for approximately $946,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.
 
On June 30, 2014, pursuant to the Flow and Bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the second quarter of 2014 with an aggregate UPB of approximately $98.1 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $661,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.

The mortgage loans underlying the Excess MSRs purchased in 2014 are collectively referred to as “Excess MSR Pool 2014,” and the recapture provisions, which are identical, are collectively referred to as the “Excess MSR Pool 2014—Recapture Agreement.”

On November 15, 2016, the Company agreed to sell all of its Excess MSRs back to Freedom Mortgage. Excess MSR Pool 1 and Excess MSR Pool 2014 were sold on November 15, 2016, and Excess MSR Pool 2 was sold on February 1, 2017. Each of the Excess MSR purchase agreements was terminated at the time the related pool(s) of Excess MSRs were sold. See Note 7.

MSRs

On May 29, 2015, in conjunction with the acquisition of Aurora, the Company acquired MSRs on conventional mortgage loans with an aggregate UPB of approximately $718.4 million.

On June 10, 2015, the Company agreed to transfer the direct servicing of the MSR portfolio to Freedom Mortgage pursuant to a subservicing agreement with Freedom Mortgage. The transfer occurred in September 2015. Pending the transfer, the former servicing employees of Aurora, now employees of Freedom Mortgage, directly serviced the portfolio for Aurora. The servicing was provided at cost pursuant to the Management Agreement with the Manager and the Services Agreement between the Manager and Freedom Mortgage. The cost for such services was included in servicing costs on the consolidated statements of income (loss).

Aurora subsequently acquired from third parties four portfolios of MSRs on loans owned or securitized by Fannie Mae or Freddie Mac with an aggregate UPB of approximately $3.4 billion as of their respective closing dates.

In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora’s MSR portfolio as directed by Aurora. See Note 7.

See Note 7 for a description of the Company’s acquisition of MSRs from Freedom Mortgage in connection with the sale by the Company of its Excess MSRs.

The following is a summary of the Company’s Servicing Related Assets (dollars in thousands):

Servicing Related Assets Summary

As of June 30, 2017
 
   
Unpaid
Principal
Balance
    
Cost Basis
    
Carrying
Value(A)
    
Weighted
Average
Coupon
    
Weighted
Average
Maturity
(Years)(B)
    
Changes in
Fair Value
Recorded in
Other Income
(Loss)
  
MSRs
          
 
                        
Conventional
  
$
3,317,157
    
$
34,155
(C)
  
$
31,491
      
3.83
%
    
23.4
      
(2,664
)
Government
    
4,290,023
      
32,495
(C)
    
42,964
      
3.36
%
    
28.3
      
10,469
  
Total
  
$
7,607,180
    
$
66,650
    
$
74,455
      
3.56
%
    
26.1
    
$
7,805
  
 
As of December 31, 2016

   
Unpaid
Principal
Balance
    
Cost Basis
    
Carrying
Value(A)
    
Weighted
Average
Coupon
    
Weighted
Average
Maturity
(Years)(B)
    
Changes in
Fair Value
Recorded in
Other Income
(Loss)(D)
  
Excess MSR Pool 2
    
6,053,142
      
19,754
(E)
    
28,526
      
2.96
%
    
26.3
      
(493
)
Excess MSR Pool 2 - Recapture Agreement
    
-
      
1,187
(E)
    
866
              
-
      
742
  
Conventional MSRs
    
3,262,181
      
35,156
(C)
    
31,871
      
3.81
%
    
23.7
      
(3,285
)
Total
  
$
9,315,323
    
$
56,097
    
$
61,263
      
3.26
%
    
25.4
    
$
(3,036
)
 
(A)
Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9).
(B)
The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
(C)
MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns.
(D)
The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool.
(E)
The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.

The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets:

Geographic Concentration of Servicing Related Assets

As of June 30, 2017

   
Percentage of Total Outstanding
Unpaid Principal Balance
  
California
    
12.0
%
New Jersey
    
7.9
%
Florida
    
6.2
%
Texas
    
5.4
%
Utah
    
5.3
%
All other
    
63.2
%
Total
    
100.0
%

As of December 31, 2016

   
Percentage of Total Outstanding
Unpaid Principal Balance
  
Texas
    
10.0
%
California
    
8.9
%
Florida
    
6.7
%
Virginia
    
5.9
%
North Carolina
    
5.8
%
Georgia
    
5.8
%
New Jersey
    
5.6
%
Washington
    
5.5
%
Colorado
    
5.2
%
All other
    
40.6
%
Total
    
100.0
%

Geographic concentrations of investments expose the Company to the risk of economic downturns within the relevant states. Any such downturn in a state where the Company holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on the Company’s Servicing Related Assets.
Note 6 — Equity and Earnings per Share

Equity Incentive Plan

During 2013, the board of directors approved and the Company adopted the Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (“2013 Plan”). The 2013 Plan provides for the grant of options to purchase shares of the Company’s common stock, stock awards, stock appreciation rights, performance units, incentive awards and other equity-based awards, including long term incentive plan units (“LTIP-OP Units”) of the Operating Partnership.

The following tables present certain information about the 2013 Plan as of the dates indicated:

Equity Incentive Plan Information

   
LTIP-OP Units
    
Shares of Common Stock
    
Number of Securities
Remaining Available For
Future Issuance Under Equity
   
Issuance
  
   
Issued
    
Forfeited
    
Issued
    
Forfeited
    
Compensation Plans
    
Price
  
December 31, 2016
    
(140,350
)
    
916
      
(28,503
)
    
3,155
      
1,335,218
        
Number of securities issued or to be issued upon exercise
    
-
      
-
      
-
      
-
      
-
        
March 31, 2017
    
(140,350
)
    
916
      
(28,503
)
    
3,155
      
1,335,218
        
Number of securities issued or to be issued upon exercise
    
(38,150
)
    
-
      
(8,199
)
    
-
      
(46,349
)
  
$
18.30
  
June 30, 2017
    
(178,500
)
    
916
      
(36,702
)
    
3,155
      
1,288,869
          

LTIP-OP Units are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership’s common units of limited partnership interest (“OP Units”) with respect to liquidating distributions; however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the Operating Partnership’s net income or loss. Under the terms of the LTIP-OP Units, the Operating Partnership will revalue its assets upon the occurrence of certain specified events, and any increase in the Operating Partnership’s valuation from the time of grant of the LTIP-OP Units until such event will be allocated first to the holders of LTIP-OP Units to equalize the capital accounts of such holders with the capital accounts of the holders of OP Units. Upon equalization of the capital accounts of the holders of LTIP-OP Units with the other holders of OP Units, the LTIP-OP Units will achieve full parity with OP Units for all purposes, including with respect to liquidating distributions. If such parity is reached, vested LTIP-OP Units may be converted into an equal number of OP Units at any time and, thereafter, enjoy all the rights of OP Units, including redemption rights. Each LTIP-OP Unit awarded is deemed equivalent to an award of one share of the Company’s common stock under the 2013 Plan and reduces the 2013 Plan’s share authorization for other awards on a one-for-one basis.

An LTIP-OP Unit and a share of common stock of the Company have substantially the same economic characteristics in as much as they effectively share equally in the net income or loss of the Operating Partnership. Holders of LTIP-OP Units that have reached parity with OP Units have the right to redeem their LTIP-OP Units, subject to certain restrictions. The redemption is required to be satisfied, in cash, or at the Company’s option, the Company may purchase the OP Units for common stock, calculated as follows: one share of the Company’s common stock, or cash equal to the fair value of a share of the Company’s common stock at the time of redemption, for each LTIP-OP Unit. When an LTIP-OP Unit holder redeems an OP Unit (as described above), non-controlling interest in the Operating Partnership is reduced and the Company’s equity is increased.

LTIP-OP Units vest ratably over the first three annual anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the closing price of the Company’s common stock on the applicable grant date in all other cases.

On January 27, 2014, the Company granted each of the independent directors pursuant to the 2013 Plan $10,000 (based on the closing price on the grant date) of common stock (530 shares each for a total of 1,590 shares), which were fully vested on the date of grant, and $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (2,651 shares each for a total of 7,953 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. The restricted shares are no longer subject to forfeiture and are vested.
 
On September 9, 2015, the Company granted each of the independent directors pursuant to the 2013 Plan $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (3,165 each for a total of 9,495 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. The shares are no longer subject to forfeiture and are vested.

On June 15, 2016, pursuant to the 2013 Plan, the Company granted each of the independent directors $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (3,155 shares each for a total of 9,465 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. This unrecognized share-based compensation expense is expected to be recognized ratably over the vesting period. The 3,155 shares granted to Mr. Kislak were forfeited when he resigned as a director of the Company on September 19, 2016. The forfeited shares have been returned to the shares available for future issuance under the 2013 Plan.

On June 14, 2017, the Company granted each of the independent directors pursuant to the 2013 Plan $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (2,733 each for a total of 8,199 shares). These shares are subject to forfeiture in certain circumstances prior to the one-year anniversary of the grant date.

As of June 30, 2017, a total of 98,934 LTIP-OP Units have vested. The Company recognized approximately $146,000 and $135,000 in share-based compensation expense in the three month periods ended June 30, 2017 and 2016, respectively. The Company recognized approximately $281,000 and $282,000 in share-based compensation expense in the six month periods ended June 30, 2017 and 2016, respectively. There was approximately $1.3 million of total unrecognized share-based compensation expense as of June 30, 2017, related to non-vested LTIP-OP Units. This unrecognized share-based compensation expense is expected to be recognized ratably over the remaining vesting period of up to three years. The aggregate expense related to the LTIP-OP Unit grants is presented as “General and administrative expense” in the Company’s consolidated income statement.

As of June 30, 2017, 1,288,869 shares of common stock remain available for future issuance under the 2013 Plan.

Non-Controlling Interests in Operating Partnership

Non-controlling interests in the Operating Partnership in the accompanying consolidated interim financial statements relate to LTIP-OP Units in the Operating Partnership and common units of limited partnership interest in the Operating Partnership issued upon conversion of LTIP-OP Units, in either case, held by parties other than the Company.

As of June 30, 2017, the non-controlling interest holders in the Operating Partnership owned 177,584 LTIP-OP Units, or approximately 1.4% of the Operating Partnership. Pursuant to ASC 810, Consolidation, changes in a parent’s ownership interest (and transactions with non-controlling interest unit holders in the Operating Partnership) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The carrying amount of the non-controlling interest will be adjusted to reflect the change in its ownership interest in the subsidiary, with the offset to equity attributable to the Company.

Earnings per Share

The Company is required to present both basic and diluted earnings per share (“EPS”). Basic EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding during each period. Diluted EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period. In accordance with ASC 260, Earnings Per Share, if there is a loss from continuing operations, the common stock equivalents are deemed anti-dilutive and earnings (loss) per share is calculated excluding the potential common shares.
 
The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):

Earnings per Share Information

   
Three Months Ended June 30,
    
Six Months Ended June 30,
  
   
2017
    
2016
    
2017
    
2016
  
Numerator:
                        
Net income allocable to common stockholders and participating securities
  
$
(1,665
)
  
$
284
    
$
20,922
    
$
(6,878
)
Net income allocable to common stockholders
  
$
(1,546
)
  
$
283
    
$
20,629
    
$
(6,780
)
Denominator:
                                
Weighted average common shares outstanding
    
12,695,090
      
7,509,543
      
10,164,564
      
7,509,543
  
Weighted average diluted shares outstanding
    
12,701,715
      
7,520,616
      
10,171,031
      
7,519,827
  
Basic and Dilutive:
                                
Basic earnings per share
  
$
(0.12
)
  
$
0.04
    
$
2.03
    
$
(0.90
)
Diluted earnings per share
  
$
(0.12
)
  
$
0.04
    
$
2.03
    
$
(0.90
)
 
There were no participating securities or equity instruments outstanding that were anti-dilutive for purposes of calculating earnings per share for the periods presented.
 
Note 7 — Transactions with Affiliates and Affiliated Entities

Manager

The Company has entered into the Management Agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations. The Management Agreement requires the Manager to manage the Company’s business affairs in conformity with the policies that are approved and monitored by the Company’s board of directors. The Management Agreement terminates on October 22, 2020, subject to automatic renewal for successive one-year terms and to certain termination rights. The Manager’s performance is reviewed prior to any renewal and may be terminated by the Company for cause without payment of a termination fee, or may be terminated without cause with payment of a termination fee, as defined in the Management Agreement, equal to three times the average annual management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the effective date of the termination, upon either the affirmative vote of at least two-thirds of the members of the board of directors or the affirmative vote of the holders of at least a majority of the outstanding common stock. Pursuant to the Management Agreement, the Manager, under the supervision of the Company’s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of the Company’s assets and provides certain advisory, administrative and managerial services in connection with the operations of the Company. For performing these services, the Company pays the Manager the management fee which is payable in cash quarterly in arrears, in an amount equal to 1.5% per annum of the stockholders’ equity (as defined in the Management Agreement).

The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage, pursuant to which Freedom Mortgage provides to the Manager the personnel, services and resources as needed by the Manager to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the Services Agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against Freedom Mortgage in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by Freedom Mortgage of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. Pursuant to the Services Agreement, the Manager will make certain payments to Freedom Mortgage in connection with the services provided.  The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated, both the Manager and Freedom Mortgage were controlled by Mr. Stanley Middleman, who is also a shareholder of the Company. Ownership of the Manager has been transferred to CHMM Blind Trust, a grantor trust for the benefit of Mr. Middleman.

The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands):

Management Fee to Affiliate

   
Three Months Ended June 30,
    
Six Months Ended June 30,
  
   
2017
    
2016
    
2017
    
2016
  
Management fees
  
$
971
    
$
560
    
$
1,672
    
$
1,120
  
Compensation reimbursement
    
191
      
130
      
382
      
260
  
Total
  
$
1,162
    
$
690
    
$
2,054
    
$
1,380
  
 
Subservicing Agreement

Freedom Mortgage is directly servicing the Company’s portfolio of Fannie Mae and Freddie Mac MSRs pursuant to a subservicing agreement entered into on June 10, 2015. The agreement has an initial term of three (3) years, expiring on September 1, 2018, and is subject to automatic renewal for additional three year terms unless either party chooses not to renew. The agreement may be terminated without cause by either party by giving notice as specified in the agreement.  Under that agreement, Freedom Mortgage agrees to service the applicable mortgage loans in accordance with applicable law and the requirements of the applicable agency. The Company pays fees for specified services.

Joint Marketing Recapture Agreement

In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora’s MSR portfolio as directed by Aurora. If a loan is refinanced, Aurora will pay Freedom Mortgage a fee for its origination services. Freedom Mortgage will be entitled to sell the loan for its own benefit and will transfer the related MSR to Aurora. The agreement has an initial term of one year, subject to automatic renewals of one year each and subject to termination by either party upon 60 days prior notice. All new loans must qualify for sale to Fannie Mae or Freddie Mac and meet other conditions set forth in the agreement. During the three month period ended June 30, 2017, MSRs on 35 loans with an aggregate UPB of approximately $6.8 million had been received from Freedom Mortgage which generated approximately $5,200 in fees due to Freedom Mortgage. During the six month period ended June 30, 2017, MSRs on 75 loans with an aggregate UPB of approximately $17.0 million had been received from Freedom Mortgage which generated approximately $29,800 in fees due to Freedom Mortgage.

Sale of Excess MSRs

On November 15, 2016, the Company completed the sale of the Excess MSRs in Excess MSR Pool 1 and the Excess MSRs in Excess MSR Pool 2014 to Freedom Mortgage. At the closing, the Company received cash proceeds of approximately $38.0 million, repaid $12.0 million of outstanding borrowings drawn on the Company’s $25 million term loan facility with NexBank SSB (the “NexBank term loan”), with a portion of the cash proceeds and released the Company’s security interests arising under Excess MSR Agreement 1 and the Flow and Bulk Excess MSR Purchase Agreement. The Company invested the remaining cash proceeds in Agency RMBS and expects to redeploy those proceeds into future MSR acquisitions.  The Company completed the sale of the Excess MSRs in Excess MSR Pool 2 to Freedom Mortgage on February 1, 2017. In connection with the sale of those Excess MSRs, Freedom Mortgage transferred to Aurora Ginnie Mae MSRs with a weighted average servicing fee of approximately 30 basis points. The Ginnie Mae MSRs relate to a pool consisting primarily of newly originated Ginnie Mae conforming mortgage loans that had an aggregate UPB of approximately $4.5 billion as of January 31, 2017. At the closing of the sale of the Excess MSRs in Excess MSR Pool 2, the Company repaid the remaining outstanding borrowings drawn on the NexBank term loan with cash on hand.  In addition, the acknowledgment agreement that the Company and Freedom Mortgage entered into with Ginnie Mae at the time of the IPO was terminated.

In connection with the sale transactions, Freedom Mortgage agreed to make 12 monthly yield maintenance payments to the Company beginning in December 2016 aggregating $3.0 million.

See Note 5 for a discussion of the now terminated co-investments in Excess MSRs with Freedom Mortgage. See Note 10 for a discussion of the now terminated acknowledgment agreement among the Company, Freedom Mortgage and Ginnie Mae.

Other Transactions with Affiliated Entities

In March 2017, the Company waived the forfeiture provisions of LTIP-OPs previously granted to Mr. Middleman that otherwise would have been triggered once he no longer was a member of the Board of Directors.
 
Note 8 — Derivative Instruments

Interest Rate Swap Agreements, Swaptions, TBAs and Treasury Futures

In order to help mitigate exposure to higher short-term interest rates in connection with its repurchase agreements, the Company enters into interest rate swap agreements and swaption agreements. Interest rate swap agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as qualifying hedging instruments for GAAP purposes.

In order to help mitigate duration risk and basis risk management, the Company utilizes Treasury futures and forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular RMBS to be delivered is not identified until shortly before the TBA settlement date.

The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Non-hedge derivatives
  
June 30, 2017
    
December 31, 2016
  
Notional amount of interest rate swaps
  
$
781,650
    
$
415,850
  
Notional amount of swaptions
    
100,000
      
70,000
  
Notional amount of TBAs, net
    
(17,000
)
    
(6,000
)
Notional amount of Treasury futures
    
-
      
50,000
  
Notional amount of options on Treasury futures
    
-
      
20,000
  
Total notional amount
  
$
864,650
    
$
549,850
  

The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):

   
Notional
Amount
    
Weighted
Average Pay
Rate
    
Weighted
Average
Receive Rate
    
Weighted
Average Years
to Maturity
  
June 30, 2017
  
$
781,650
      
1.78
%
    
1.18
%
    
5.3
  
December 31, 2016
  
$
415,850
      
1.46
%
    
0.90
%
    
4.8
  

The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands):

   
Notional
Amount
    
Weighted
Average Pay
Rate
    
Weighted
Average Receive
Rate(A)
    
Weighted
Average Years
to Maturity
  
June 30, 2017
  
$
100,000
      
2.79
%
    
LIBOR-BBA
 %    
10.7
  
December 31, 2016
  
$
70,000
      
2.74
%
    
LIBOR-BBA
 %    
10.9
  
 
(A)
Floats in accordance with LIBOR.
 
The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income (loss) for the periods indicated (dollars in thousands):
 
Realized Gains (Losses) on Derivatives

        
Three Months Ended June 30,
    
Six Months Ended June 30,
  
Non-Hedge Derivatives
  
Consolidated Statements of Income (Loss) Location
  
2017
    
2016
    
2017
    
2016
  
Interest rate swaps
  
Realized gain (loss) on derivatives, net
  
$
(436
)
  
$
(398
)
  
$
(595
)
  
$
(1,748
)
Swaptions
  
Realized gain (loss) on derivatives, net
    
-
      
(140
)
    
(69
)
    
(140
)
TBAs
  
Realized gain (loss) on derivatives, net
    
(402
)
    
56
      
(514
)
    
(26
)
Treasury futures
  
Realized gain (loss) on derivatives, net
    
(959
)
    
183
      
(1,636
)
    
154
  
Total
  
 
  
$
(1,797
)
  
$
(299
)
  
$
(2,814
)
  
$
(1,760
)

Offsetting Assets and Liabilities

The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association (“ISDA”). Under GAAP, if the Company has a valid right of offset, it may offset the related asset and liability and report the net amount. The Company presents interest rate swaps, swaptions and Treasury futures assets and liabilities on a gross basis in its consolidated balance sheets. The Company presents TBA assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements in this section even though they are not derivatives because they are subject to master netting arrangements. However, repurchase agreements are presented on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets.

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2017

   
Gross
    
Gross
    
Net Amounts
of Assets
    
Gross Amounts Not Offset in the
Consolidated Balance Sheet
      
 
  
Amounts of
Recognized
Assets or
Liabilities
    
Amounts
Offset in the
Consolidated
Balance Sheet
    
Presented in
the
Consolidated
Balance Sheet
    
Financial
Instruments
    
Cash
Collateral
Received
(Pledged)
    
Net Amount
  
Assets
                                    
Interest rate swaps
  
$
6,303
    
$
-
    
$
6,303
    
$
(6,303
)
  
$
-
    
$
-
  
Swaptions
    
727
      
-
      
727
      
(727
)
    
-
      
-
  
TBAs
    
76
      
-
      
76
      
(76
)
    
-
      
-
  
Treasury futures
    
-
      
-
      
-
      
-
      
(144
)
    
(144
)
Total Assets
  
$
7,106
    
$
-
    
$
7,106
    
$
(7,106
)
  
$
(144
)
  
$
(144
)
 
                                                
Liabilities
                                                
Repurchase agreements
  
$
1,197,440
    
$
-
    
$
1,197,440
    
$
(1,191,663
)
  
$
(5,777
)
  
$
-
  
Interest rate swaps
    
3,265
      
-
      
3,265
      
10,096
      
(13,361
)
    
-
  
Total Liabilities
  
$
1,200,705
    
$
-
    
$
1,200,705
    
$
(1,181,567
)
  
$
(19,138
)
  
$
-
  
 
As of December 31, 2016

   
Gross
    
Gross
Amounts
    
Net Amounts
of Assets
Presented in
    
Gross Amounts Not Offset in
the Consolidated Balance
Sheet
        
   
Amounts of
Recognized
Assets or
Liabilities
    
Offset in the
Consolidated
Balance
Sheet
    
the
Consolidated
Balance
Sheet
    
Financial
Instruments
    
Cash
Collateral
Received
(Pledged)
    
Net Amount
  
Assets
                                    
Interest rate swaps
  
$
7,639
    
$
-
    
$
7,639
    
$
(7,639
)
  
$
-
    
$
-
  
Swaptions
    
1,482
      
-
      
1,482
      
(1,482
)
    
-
      
-
  
Total Assets
  
$
9,121
    
$
-
    
$
9,121
    
$
(9,121
)
  
$
-
    
$
-
  
                                                 
Liabilities
                                                
Repurchase agreements
  
$
594,615
    
$
-
    
$
594,615
    
$
(574,181
)
  
$
(20,434
)
  
$
-
  
Interest rate swaps
    
339
      
-
      
339
      
-
      
(339
)
    
-
  
TBAs
    
75
      
-
      
75
      
(75
)
    
-
      
-
  
Treasury futures
    
280
      
-
      
280
      
526
      
(806
)
    
-
  
Total Liabilities
  
$
595,309
    
$
-
    
$
595,309
    
$
(573,730
)
  
$
(21,579
)
  
$
-
  
 
Note 9 – Fair Value

Fair Value Measurements

ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability.

ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels:

Level 1 inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.

Level 2 inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.

Level 3 unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that management believes market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.

Recurring Fair Value Measurements

The following is a description of the methods used to estimate the fair values of the Company’s assets and liabilities measured at fair value on a recurring basis, as well as the basis for classifying these assets and liabilities as Level 2 or 3 within the fair value hierarchy. The Company’s valuations consider assumptions that it believes a market participant would consider in valuing the assets and liabilities, the most significant of which are disclosed below. The Company reassesses and periodically adjusts the underlying inputs and assumptions used in the valuations for recent historical experience, as well as for current and expected relevant market conditions.

RMBS

The Company holds a portfolio of RMBS that are classified as available for sale and are carried at fair value in the consolidated balance sheets. The Company determines the fair value of its RMBS based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at June 30, 2017 and December 31, 2016.

Excess MSRs

The Company held a portfolio of Excess MSRs that are reported at fair value in the consolidated balance sheet at December 31, 2016. The Company used a discounted cash flow model to estimate the fair value of these assets. Although Excess MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels and discount rates). As a result, the Company classified 100% of its Excess MSRs as Level 3 fair value assets at December 31, 2016. The Company did not hold any Excess MSRs at June 30, 2017.
 
MSRs

The Company holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. The Company uses a discounted cash flow model to estimate the fair value of these assets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value assets at June 30, 2017 and December 31, 2016.

Derivative Instruments

The Company enters into a variety of derivative instruments as part of its economic hedging strategies. The Company executes interest rate swaps, swaptions, TBAs and treasury futures. The Company utilizes third-party pricing providers to value its derivative instruments. As a result, the Company classified 100% of its derivative instruments as Level 2 fair value assets and liabilities at June 30, 2017 and December 31, 2016.

Both the Company and the derivative counterparties under their netting arrangements are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit.

The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).

Recurring Fair Value Measurements

As of June 30, 2017

   
Level 1
    
Level 2
    
Level 3
    
Carrying Value
  
Assets
                        
RMBS
                        
Fannie Mae
  
$
-
    
$
885,201
    
$
-
    
$
885,201
  
Freddie Mac
    
-
      
425,256
      
-
      
425,256
  
CMOs
    
-
      
67,977
      
-
      
67,977
  
RMBS total
    
-
      
1,378,434
      
-
      
1,378,434
  
Derivative assets
                                
Interest rate swaps
    
-
      
6,303
      
-
      
6,303
  
Interest rate swaptions
    
-
      
727
      
-
      
727
  
TBAs
    
-
      
76
      
-
      
76
  
Derivative assets total
    
-
      
7,106
      
-
      
7,106
  
Servicing related assets
    
-
      
-
      
74,455
      
74,455
  
Total Assets
  
$
-
    
$
1,385,540
    
$
74,455
    
$
1,459,995
  
Liabilities
                                
Derivative liabilities
                                
Interest rate swaps
    
-
      
3,265
      
-
      
3,265
  
Derivative liabilities total
    
-
      
3,265
      
-
      
3,265
  
Total Liabilities
  
$
-
    
$
3,265
    
$
-
    
$
3,265
  
 
As of December 31, 2016

   
Level 1
    
Level 2
    
Level 3
    
Carrying Value
  
Assets
                        
RMBS
                        
Fannie Mae
  
$
-
    
$
448,937
    
$
-
    
$
448,937
  
Freddie Mac
    
-
      
198,103
      
-
      
198,103
  
CMOs
    
-
      
24,864
      
-
      
24,864
  
RMBS total
    
-
      
671,904
      
-
      
671,904
  
Derivative assets
                                
Interest rate swaps
    
-
      
7,639
      
-
      
7,639
  
Interest rate swaptions
    
-
      
1,482
      
-
      
1,482
  
Derivative assets total
    
-
      
9,121
      
-
      
9,121
  
Servicing related assets
    
-
      
-
      
61,263
      
61,263
  
Total Assets
  
$
-
    
$
681,025
    
$
61,263
    
$
742,288
  
Liabilities
                                
Derivative liabilities
                                
Interest rate swaps
    
-
      
339
      
-
      
339
  
TBAs
    
-
      
75
      
-
      
75
  
Treasury futures
    
-
      
280
      
-
      
280
  
Derivative liabilities total
    
-
      
694
      
-
      
694
  
Total Liabilities
  
$
-
    
$
694
    
$
-
    
$
694
  

The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of June 30, 2017 and December 31, 2016, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented.

Level 3 Assets and Liabilities

The valuation of Level 3 assets and liabilities requires significant judgment by the third-party pricing providers and management. The third-party pricing providers and management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by third-party pricing providers and management in the absence of market information. Assumptions used by third-party pricing providers and management due to lack of observable inputs may significantly impact the resulting fair value and, therefore, the Company’s consolidated financial statements. The Company’s management reviews all valuations that are based on pricing information received from third-party pricing providers. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable.

In connection with the above, the Company estimates the fair value of its Servicing Related Assets based on internal pricing models rather than quotations, and compares the results of these internal models against the results from models generated by third-party valuation specialists. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise.

Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair values. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of June 30, 2017 and December 31, 2016 and do not take into consideration the effects of subsequent changes in market or other factors.
 
The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands):
 
Level 3 Fair Value Measurements
 
As of June 30, 2017

   
Level 3 (A)
  
   
Pool 2
    
MSRs
    
Total
  
Balance at December 31, 2016
  
$
29,392
    
$
31,871
    
$
61,263
  
Purchases, sales and principal paydowns:
                        
Purchases
    
-
      
35,800
      
35,800
  
Sales
     (35,905 )     -       (35,905 )
Other changes (B)
    
6,513
      
(1,021
)
    
5,492
  
Purchases, sales and principal paydowns:
  
$
(29,392
)
  
$
34,779
    
$
5,387
  
Changes in Fair Value due to:
                        
Changes in valuation inputs or assumptions used in valuation model
    
-
      
10,425
      
10,425
  
Other changes in fair value (C)
    
-
      
(2,620
)
    
(2,620
)
Unrealized gain (loss) included in Net Income
  
$
-
    
$
7,805
    
$
7,805
  
Balance at June 30, 2017
  
$
-
    
$
74,455
    
$
74,455
  

As of December 31, 2016

   
Level 3 (A)
  
   
Pool 1
    
Pool 2
    
Excess MSR Pool 2014
    
MSRs
    
Total
  
Balance at December 31, 2015
  
$
43,482
    
$
33,054
    
$
1,506
    
$
19,761
    
$
97,803
  
Purchases, sales and principal paydowns:
                                        
Purchases
    
-
      
-
      
-
      
16,179
      
16,179
  
Sales
    
(39,916
)
    
-
      
(1,179
)
    
-
      
(41,095
)
Proceeds from principal paydowns
    
(3,566
)
    
(3,911
)
    
(327
)
    
-
      
(7,804
)
Other changes (B)
    
-
      
-
      
-
      
(784
)
    
(784
)
Purchases, sales and principal paydowns:
  
$
(43,482
)
  
$
(3,911
)
  
$
(1,506
)
  
$
15,395
    
$
(33,504
)
Changes in Fair Value due to:
                                        
Changes in valuation inputs or assumptions used in valuation model
    
-
      
249
      
-
      
227
      
476
  
Other changes in fair value (C)
    
-
      
-
      
-
      
(3,512
)
    
(3,512
)
Unrealized gain (loss) included in Net Income
  
$
-
    
$
249
    
$
-
    
$
(3,285
)
  
$
(3,036
)
Balance at December 31, 2016
  
$
-
    
$
29,392
    
$
-
    
$
31,871
    
$
61,263
  
 
(A)
Includes the recapture agreement for each respective pool.
(B)
Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.
(C)
Represents changes due to realization of expected cash flows.
 
The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands):

Fair Value Measurements

As of June 30, 2017
 
 
Fair Value
Valuation Technique
Unobservable Input (A)
 
Range
  
Weighted
Average
  
MSRs
    
 
 
 
 
 
    
 
    
Conventional
  
$
31,491
  
Discounted cash flow
  
Constant prepayment speed
    
6.9% - 20.2
%
    
11.2
%
       
 
 
 
Uncollected payments
 
  
0.4% - 5.2
%
 
  
0.9
%
           
Discount rate
            
9.3
%
       
 
 
Annual cost to service, per loan
 
      
   
$
71
  
Government
  
$
42,964
  
Discounted cash flow
  
Constant prepayment speed
    
5.1% - 17.3
%
    
8.7
%
       
 
 
 
Uncollected payments
 
  
1.8% - 39.5
%
 
  
3.8
%
             
Discount rate
            
12.0
%
       
 
 
 
Annual cost to service, per loan
 
      
   
$
98
  
TOTAL
   $
74,455
  
Discounted cash flow
                  
 
As of December 31, 2016
 
   
Fair Value
  
Valuation Technique
  
Unobservable Input (A)
  
Range
    
Weighted
Average
  
Excess MSR Pool 2
  
$
29,392
  
Discounted cash flow
  
Constant prepayment speed
    
7.8% - 31.9
%
    
14.3
%
           
Uncollected Payments
    
8.3% - 13.1
%
    
11.9
%
         
 
  
Discount rate
            
16.2
%
Conventional MSRs
  
$
31,871
  
Discounted cash flow
  
Constant prepayment speed
    
7.1% - 24.9
%
    
10.6
%
         
 
  
Uncollected payments
    
0.8% - 1.4
%
    
1.3
%
           
Discount rate
            
9.3
%
         
 
  
Annual cost to service, per loan
          
$
64
  
TOTAL
  
$
61,263
  
Discounted cash flow
                    
 
(A)
Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.

Fair Value of Financial Instruments not Carried at Fair Value in Balance Sheets

In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheet, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments.

•
RMBS available for sale securities, Servicing Related Assets, derivative assets and derivative liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the “Fair Value Measurements” section of this footnote.

•
Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments.

•
The carrying value of repurchase agreements and corporate debt that mature in less than one year generally approximates fair value due to the short maturities. The Company does not hold any repurchase agreements that are considered long-term.

Corporate debt that matures in more than one year generally approximates fair value.
 
Note 10 — Commitments and Contingencies

The following represents commitments and contingencies of the Company as of June 30, 2017 and December 31, 2016:

Management Agreement

The Company pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% management fee annual rate and the stockholders’ equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. The Company relies on resources of Freedom Mortgage to provide the Manager with the necessary resources to conduct Company operations. For further discussion regarding the management fee, see Note 7.

Legal and Regulatory

From time to time, the Company may be subject to potential liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company’s consolidated financial statements, and, therefore, no accrual is required as of June 30, 2017 and December 31, 2016.

Commitments to Purchase/Sell RMBS

As of June 30, 2017 and December 31, 2016, the Company held forward TBA purchase and sale commitments, respectively, with counterparties, which are forward RMBS trades, whereby the Company committed to purchasing a pool of securities at a particular interest rate. As of the date of the trade, the mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade are not yet designated. The securities are typically “to be announced” 48 hours prior to the established trade settlement date.

As of June 30, 2017, the Company was obligated to purchase approximately $14.9 million of Fannie Mae and Freddie Mac securities and was not obligated to sell any securities and they have been classified within “payables for unsettled trades” on the consolidated balance sheet. As of December 31, 2016, the Company was not obligated to purchase any securities and was obligated to sell approximately $6.0 million of securities which have been classified within “payables for unsettled trades” on the consolidated balance sheets.

Acknowledgment Agreements

In order to have Ginnie Mae acknowledge our interest in Excess MSRs related to FHA and VA mortgage loans that were pooled into securities guaranteed by Ginnie Mae, the Company entered into an acknowledgment agreement with Ginnie Mae and Freedom Mortgage. Under that agreement, if Freedom Mortgage failed to make a required payment to the holders of the Ginnie Mae-guaranteed RMBS, the Company would have been obligated to make that payment even though the payment may have related to loans for which the Company did not own any Excess MSRs. The Company’s failure to make that payment would have resulted in liability to Ginnie Mae for any losses or claims that it suffered as a result.  This agreement was terminated in February 2017 in connection with the disposition of the remaining Excess MSRs back to Freedom Mortgage.

In connection with the MSR Financing Facility (as defined below) entered into by Aurora and QRS III, those parties also entered into an acknowledgment agreement with Fannie Mae. Pursuant to that agreement, Fannie Mae consented to the pledge by Aurora and QRS III of their respective interests in MSRs for loans owned or securitized by Fannie Mae, and acknowledged the security interest of the lender in those MSRs. See Note 12—Notes Payable for a description of the MSR Financing Facility.
 
Note 11 – Repurchase Agreements

The Company had outstanding approximately $1,197.4 million and $594.6 million of repurchase agreements as of June 30, 2017 and December 31, 2016, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 58 days and 65 days as of June 30, 2017 and December 31, 2016, respectively. RMBS and cash have been pledged as collateral under these repurchase agreements (see Note 4).

The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands):

Repurchase Agreement Characteristics

As of June 30, 2017

   
Repurchase Agreements
    
Weighted Average Rate
  
Less than one month
  
$
366,298
      
1.13
%
One to three months
    
565,295
      
1.17
%
Greater than three months
    
265,847
      
1.29
%
Total/Weighted Average
  
$
1,197,440
      
1.19
%


As of December 31, 2016

   
Repurchase Agreements
    
Weighted Average Rate
  
Less than one month
  
$
60,690
      
1.14
%
One to three months
    
456,502
      
0.91
%
Greater than three months
    
77,423
      
0.90
%
Total/Weighted Average
  
$
594,615
      
0.93
%

There were no overnight or demand securities as of June 30, 2017 or December 31, 2016.
 
Note 12 – Notes Payable

In September 2016, Aurora and QRS III entered into a loan and security agreement (the “MSR Financing Facility”), pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings up to a maximum of $25.0 million outstanding at any one time. The MSR financing facility has a two-year revolving period, subject to extension by agreement, during which only interest payments are due. Borrowings bear interest at a spread over one month LIBOR. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan with monthly payments of interest (calculated as a spread over the rate for one-year interest rate swaps) and principal (calculated on a ten-year amortization schedule).

At December 31, 2016 the Company had outstanding borrowings of $8.9 million on the $25 million NexBank term loan (the “Term Loan”). The Term Loan was paid in full in connection with the sale of the Excess MSRs in Excess MSR Pool 2 back to Freedom Mortgage in February 2017.

In May 2017, the Company, Aurora and QRS IV obtained a $20.0 million loan (the “MSR Term Facility”) secured by the pledge of Aurora’s Ginnie Mae MSRs and the ownership interest in QRS IV. The loan bears interest at a fixed rate of 6.18% per annum, amortizes on a ten-year amortization schedule and is due on May 18, 2022.

The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):

Long-Term Borrowings Repayment Characteristics

As of June 30, 2017
 
 
2017
    
2018
    
2019
    
2020
    
2021
     2022    
Total
  
MSR Term Facility
                                          
Borrowings under MSR Term Facility
  
$
1,000
    
$
2,000
    
$
2,000
    
$
2,000
    
$
2,000
    
$
11,000
    
$
20,000
  
MSR Financing Facility
                                                        
Borrowings under MSR Financing Facility
  
$
-
    
$
295
    
$
1,222
    
$
1,289
    
$
12,694
    
$
-
    
$
15,500
  
Total
  
$
1,000
    
$
2,295
    
$
3,222
    
$
3,289
    
$
14,694
    
$
11,000
    
$
35,500
  
 
As of December 31, 2016

   
2017
    
2018
    
2019
    
2020
    
2021
    
Total
  
Term Loan
                                    
Borrowings under Term Loan
  
$
2,841
    
$
3,005
    
$
3,040
    
$
-
    
$
-
    
$
8,886
  
MSR Financing Facility
                                                
Borrowings under Financing Facility
  
$
-
    
$
271
    
$
1,118
    
$
1,175
    
$
11,436
    
$
14,000
  
Total
  
$
2,841
    
$
3,276
    
$
4,158
    
$
1,175
    
$
11,436
    
$
22,886
  
 
Note 13 – Receivables and Other Assets

The assets comprising “Receivables and other assets” as of June 30, 2017 and December 31, 2016 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

   
June 30, 2017
    
December 31, 2016
  
Excess servicing income receivable
  
$
1,250
    
$
5,598
  
Servicing advances
    
2,402
      
1,432
  
Interest receivable
    
4,273
      
2,069
  
Repurchased loans held for sale
    
1,570
      
1,570
  
Other receivables
    
3,335
      
1,628
  
Total other assets
  
$
12,830
    
$
12,297
  

The Company only records as an asset those servicing advances that the Company deems recoverable.

As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 3I, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 20 17. Four of the five loans purchased were sold during the six month period ended June 30,2017, and the Company did not recognize any losses on such sales. The remaining repurchased loan is considered to be a Level 2 Asset and is expected to be sold in 2017.
Note 14 – Income Taxes

The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is the Company’s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within the next year as permitted by the Code.

Effective January 1, 2014, CHMI Solutions has elected to be taxed as a corporation for U.S. federal income tax purposes; prior to this date, CHMI Solutions was a disregarded entity for U.S. federal income tax purposes. CHMI Solutions has jointly elected with the Company, the ultimate beneficial owner of CHMI Solutions, to be treated as a TRS of the Company, and all activities conducted through CHMI Solutions and its wholly-owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora and is fully taxed as a U.S. C-Corporation.

The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes.

The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):

   
Six Months Ended June 30, 
  
   
2017
    
2016
  
Current federal income tax expense
  
$
112
    
$
-
  
Current state income tax expense
    
21
      
-
  
Deferred federal income tax expense (benefit)
    
(134
)
    
(522
)
Deferred state income tax expense (benefit)
    
(4
)
    
(58
)
Total Income Tax Expense
  
$
(5
 )   
$
(580
)

The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):

   
Six Months Ended June 30,
  
   
2017
    
2016
  
Computed income tax (benefit) expense at federal rate
  
$
7,321
      
35.0
%
  
$
(2,610
)
    
35.0
%
State taxes, net of federal benefit, if applicable
    
-
      
-
%
    
(58
)
    
0.8
%
Permanent differences in taxable income from GAAP pre-tax income
    
-
      
-
%
    
-
      
-
%
REIT income not subject to tax
    
(7,326
)
    
(35.0
)%
    
2,088
      
(28.0
)%
(Benefit from) Provision for Income Taxes/Effective Tax Rate(A)
  
$
(5
 )     
0.0
%
  
$
(580
)
    
7.8
%

(A)
The provision for income taxes is recorded at the TRS level.
 
The Company’s consolidated balance sheets, at June 30, 2017 and December 31, 2016, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands):

   
Six Months Ended June 30,  
  
   
2017
    
2016
  
Income taxes payable
            
Federal income taxes payable
  
$
650
    
$
-
  
State and local income taxes payable
    
82
      
-
  
Income taxes payable
  
$
732
    
$
-
  

   
June 30, 2017
    
December 31, 2016
  
Deferred tax (assets) liabilities
            
Deferred tax - organizational expenses
  
$
(51
)
  
$
(53
)
Deferred tax - mortgage servicing rights
    
(480
 )    
(340
)
Total net deferred tax (assets) liabilities
  
$
(531
 )  
$
(393
)

The deferred tax asset as of June 30, 2017 was primarily related to mortgage servicing rights. The deferred tax asset as of December 31, 2016 was primarily related to mortgage servicing rights. No valuation allowance has been established at June 30, 2017 and December 31, 2016. As of June 30, 2017 and December 31, 2016, the deferred tax asset is included in “Accrued expenses and other liabilities” in the consolidated balance sheets

Based on the Company’s evaluation, the Company has concluded that there are no significant uncertain tax positions requiring recognition in the Company’s consolidated financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements.

The Company’s 2016, 2015, 2014, 2013 and 2012 federal, state and local income tax returns remain open for examination by the relevant authorities.
 
Note 15 – Subsequent Events

Events subsequent to June 30, 2017 were evaluated and no additional events were identified requiring further disclosure in the interim consolidated financial statements.
 
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations.

The following discussion and analysis should be read in conjunction with our interim consolidated financial statements and the accompanying notes included in “Part I, Item 1. Consolidated Financial Statements” of this Quarterly Report on Form 10-Q.

General

Cherry Hill Mortgage Investment Corporation is a public residential real estate finance company focused on acquiring, investing in and managing residential mortgage assets in the United States. We were incorporated in Maryland on October 31, 2012, and we commenced operations on or about October 9, 2013 following the completion of our initial public offering and a concurrent private placement. Our common stock is listed and traded on the New York Stock Exchange under the symbol “CHMI.” We are externally managed by our Manager, Cherry Hill Mortgage Management, LLC, an SEC-registered investment adviser.

Our principal objective is to generate attractive current yields and risk-adjusted total returns for our stockholders over the long term, primarily through dividend distributions and secondarily through capital appreciation. We attempt to attain this objective by selectively constructing and actively managing a portfolio of Servicing Related Assets and RMBS and, subject to market conditions, other cash flowing residential mortgage assets.

We are subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing.

We elected to be taxed as a REIT for U.S. federal income tax purposes commencing with our short taxable year ended December 31, 2013. We operate so as to continue to qualify to be taxed as a REIT. Our asset acquisition strategy focuses on acquiring a diversified portfolio of residential mortgage assets that balances the risk and reward opportunities our Manager observes in the marketplace. Prior to our acquisition of Aurora Financial Group, Inc. in May 2015, our Servicing Related Assets consisted of Excess MSRs in three pools: Excess MSR Pool 1, Excess MSR Pool 2 and Excess MSR Pool 2014.  The Excess MSRs in these three pools had been previously acquired by the Company from Freedom Mortgage. The acquisition of Aurora included a portfolio of Fannie Mae and Freddie Mac MSRs with an aggregate UPB of approximately $718.4 million as of May 29, 2015. Aurora subsequently acquired four additional portfolios of Fannie Mae and Freddie Mac MSRs with an aggregate UPB of approximately $3.4 billion as of their respective closing dates. Aurora has the licenses necessary to service mortgage loans on a nationwide basis and is approved to service loans for Fannie Mae, Freddie Mac and Ginnie Mae.

On November 15, 2016, we completed the sale of the Excess MSRs in Excess MSR Pool 1 and the Excess MSRs in Excess MSR Pool 2014 to Freedom Mortgage. We completed the sale of the Excess MSRs in Excess MSR Pool 2 to Freedom Mortgage on February 1, 2017. In connection with the sale of the Excess MSRs in Excess MSR Pool 2 to Freedom Mortgage, Freedom Mortgage transferred to Aurora Ginnie Mae MSRs on mortgage loans that had an aggregate UPB of approximately $4.5 billion as of January 31, 2017. In connection with these sales we repaid the outstanding borrowings drawn on the $25 million NexBank term loan. In addition, the Acknowledgment Agreement that we and Freedom Mortgage entered into with Ginnie Mae at the time of our IPO was terminated. In connection with the sale transactions, Freedom Mortgage agreed to make 12 monthly yield maintenance payments to the Company beginning in December 2016 aggregating $3.0 million.

In addition to Servicing Related Assets, we invest in Agency RMBS, primarily those backed by 30-, 20- and 15-year fixed rate mortgages (“FRMs”) that offer what we believe to be favorable prepayment and duration characteristics. We finance our RMBS with leverage, the amount of which will vary from time to time depending on the particular characteristics of our portfolio, the availability of financing and market conditions. We do not have a targeted leverage ratio for our RMBS. Our borrowings for RMBS consist of short-term borrowings under master repurchase agreements. We have also invested in Agency collateralized mortgage obligations (“CMOs”) consisting of interest-only securities as well as risk-sharing securities issued by Fannie Mae and Freddie Mac.
 
Subject to maintaining our qualification as a REIT, we utilize derivative financial instruments (or hedging instruments) to hedge our exposure to potential interest rate mismatches between the interest we earn on our assets and our borrowing costs caused by fluctuations in short-term interest rates. In utilizing leverage and interest rate hedges, our objectives include, where desirable, locking in, on a long-term basis, a spread between the yield on our assets and the cost of our financing in an effort to improve returns to our stockholders.

We also operate our business in a manner that permits us to maintain our exclusion from registration as an investment company under the Investment Company Act.

On March 29, 2017, we issued and sold 5,175,000 shares of common stock, par value $0.01 per share, raising approximately $81.1 million after underwriting discounts and commissions before expenses of approximately $229,000. All of the net proceeds were used to invest on a temporary basis in RMBS pending re-deployment of a substantial portion of those proceeds into the acquisition of MSRs. This has caused a significant change in the composition of our investment portfolio which will likely persist until significant funds can be redeployed into MSRs.

Factors Impacting our Operating Results

Our income is generated primarily by the net spread between the income we earn on our assets and the cost of our financing and hedging activities as well as the amortization of any purchase premiums or the accretion of discounts. Our net income includes the actual interest payments we receive on our RMBS, the net servicing fee we receive on our MSRs and the accretion/amortization of any purchase discounts/premiums. Changes in various factors such as market interest rates, prepayment speeds, estimated future cash flows, servicing costs and credit quality could affect the amount of premium to be amortized or discount to be accreted into interest income for a given period. Market interest rates and prepayment rates vary according to the type of investment, conditions in the financial markets, competition and other factors, none of which can be predicted with any certainty. Our operating results may also be affected by credit losses in excess of initial anticipations or unanticipated credit events experienced by borrowers whose mortgage loans underlay the MSRs held by Aurora.

Set forth below is the positive gross spread between the yield on RMBS and our costs of funding those assets at the end of each of the quarters indicated below:

Average Net Yield Spread at Period End

Quarter Ended
  
Average
 Asset Yield
    
Average
 Cost of Funds
    
Average Net
 Interest Rate Spread
  
June 30, 2017
    
3.68
%
    
1.78
%
    
1.90
%
March 31, 2017
    
3.62
%
    
1.67
%
    
1.95
%
December 31, 2016
    
3.53
%
    
1.49
%
    
2.03
%
September 30, 2016
    
3.53
%
    
1.44
%
    
2.10
%
June 30, 2016
    
3.51
%
    
1.62
%
    
1.88
%
March 31, 2016
    
3.52
%
    
1.70
%
    
1.82
%
December 31, 2015
    
3.52
%
    
1.89
%
    
1.63
%
September 30, 2015
    
3.51
%
    
1.93
%
    
1.58
%
June 30, 2015
    
3.57
%
    
1.96
%
    
1.61
%
March 31, 2015
    
3.60
%
    
1.92
%
    
1.68
%
December 31, 2014
    
3.66
%
    
1.99
%
    
1.67
%
September 30, 2014
    
3.66
%
    
2.00
%
    
1.66
%
June 30, 2014
    
3.72
%
    
2.00
%
    
1.71
%
March 31, 2014
    
3.62
%
    
2.10
%
    
1.52
%

The Average Cost of Funds also includes the benefits of related swaps.
 
Changes in the Market Value of Our Assets

We hold our Servicing Related Assets as long-term investments. Our Excess MSRs were, and our MSRs are, carried at their fair value with changes in their fair value recorded in other income or loss in our consolidated statements of income (loss). Those values may be affected by events or headlines that are outside of our control, such as Brexit, other events impacting the U.S. or global economy generally or the U.S. residential market specifically, and events or headlines impacting the parties with which we do business.  See “Part I, Item 1A. Risk Factors – Risks Related to our Business” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2016.

Our RMBS are carried at their fair value, as available-for-sale in accordance with ASC 320, Accounting for Certain Investments in Debt or Equity Securities, with changes in fair value recorded through accumulated other comprehensive income (loss), a component of stockholders’ equity. As a result, we do not expect that changes in the market value of our RMBS will normally impact our operating results, but such changes will affect our book value. However, at least on a quarterly basis, we assess both our ability and intent to continue to hold our RMBS as long-term investments. As part of this process, we monitor our RMBS for other-than-temporary impairment. A change in our ability and/or intent to continue to hold any of our RMBS could result in our recognizing an impairment charge or realizing losses while holding these assets. 

Impact of Changes in Market Interest Rates on Our Assets

The value of our assets may be affected by prepayment rates on mortgage loans. Prepayment speed is the measurement of how quickly borrowers pay down the UPB of their loans or how quickly loans are otherwise liquidated or charged off. Generally, in a declining interest rate environment, prepayment speeds tend to increase. Conversely, in an increasing interest rate environment, prepayment speeds tend to decrease. When we acquire Servicing Related Assets or RMBS, we anticipate that the underlying mortgage loans will prepay at a projected rate generating an expected cash flow (in the case of Servicing Related Assets) and yield. If we purchase assets at a premium to par value and borrowers prepay their mortgage loans faster than expected, the corresponding prepayments on our assets may reduce the expected yield on such assets because we will have to amortize the related premium on an accelerated basis. Similarly, if we purchase assets at a discount to par value, and borrowers prepay their mortgage loans slower than expected, the decrease in corresponding prepayments may reduce the expected yield on assets because we will not be able to accrete the related discount as quickly as originally anticipated.

If prepayment speeds are significantly greater than expected, the carrying value of the Servicing Related Assets could exceed their estimated fair value. If the fair value of the Servicing Related Assets decreases, we would be required to record a non-cash charge, which would have a negative impact on our financial results. Furthermore, a significant increase in prepayment speeds could materially reduce the ultimate cash flows we receive from the Servicing Related Assets, and we could ultimately receive substantially less than what we paid for such assets. We do not utilize derivatives to hedge against changes in the fair value of the Servicing Related Assets. Our balance sheet, results of operations and cash flows are susceptible to significant volatility due to changes in the fair value of, or cash flows from, the Servicing Related Assets as interest rates change.

A slower than anticipated rate of prepayment due to an increase in market interest rates also will cause the life of the related RMBS to extend beyond that which was projected. As a result, we would have an asset with a lower yield than current investments for a longer period of time. In addition, if we have hedged our interest rate risk, extension may cause the security to be outstanding longer than the related hedge thereby reducing the protection intended to be provided by the hedge.

Voluntary and involuntary prepayment rates may be affected by a number of factors including, but not limited to, the availability of mortgage credit, the relative economic vitality of the area in which the related properties are located, the servicing of the mortgage loans, possible changes in tax laws, other opportunities for investment, homeowner mobility and other economic, social, geographic, demographic and legal factors, none of which can be predicted with any certainty.
 
We attempted to reduce the exposure of our Excess MSRs to voluntary prepayments through the structuring of recapture agreements with Freedom Mortgage. With the sale of our Excess MSRs to Freedom Mortgage in November 2016 and February 2017, these arrangements were terminated. In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage attempts to refinance certain mortgage loans underlying Aurora’s portfolio of Fannie Mae and Freddie Mac MSRs as directed by Aurora. If a loan is refinanced, Aurora will pay Freedom Mortgage a fee for its origination services. Freedom Mortgage will be entitled to sell the loan for its own benefit and will transfer the related MSR to Aurora. The agreement had an initial term of one year, subject to automatic renewals of one year each and subject to termination by either party upon 60 days prior notice. All new loans must qualify for sale to Fannie Mae or Freddie Mac and meet other conditions set forth in the agreement. In the three and six month periods ended June 30, 2017, Aurora received MSRs with an aggregate UPB of approximately $6.8 million and $17.0 million and paid fees of approximately $5,200 and $29,800, respectively, to Freedom Mortgage under this joint marketing recapture agreement.
 
With respect to our business operations, increases in interest rates, in general, may over time cause:

·
the interest expense associated with our borrowings to increase;
·
the value of our assets to fluctuate;
·
the coupons on any adjustable-rate and hybrid RMBS we may own to reset, although on a delayed basis, to higher interest rates;
·
prepayments on our RMBS to slow, thereby slowing the amortization of our purchase premiums and the accretion of our purchase discounts; and
·
an increase in the value of any interest rate swap agreements we may enter into as part of our hedging strategy.

Conversely, decreases in interest rates, in general, may over time cause:

·
prepayments on our RMBS to increase, thereby accelerating the amortization of our purchase premiums and the accretion of our purchase discounts;
·
the interest expense associated with our borrowings to decrease;
·
the value of our assets to fluctuate;
·
to the extent we enter into interest rate swap agreements as part of our hedging strategy, the value of these agreements to decrease; and
·
coupons on any adjustable-rate and hybrid RMBS assets we may own to reset, although on a delayed basis, to lower interest rates.

Effects of Spreads on our Assets

The spread between the yield on our assets and our funding costs affects the performance of our business. Wider spreads imply greater income on new asset purchases but may have a negative impact on our stated book value. Wider spreads may also negatively impact asset prices. In an environment where spreads are widening, counterparties may require additional collateral to secure borrowings which may require us to reduce leverage by selling assets. Conversely, tighter spreads imply lower income on new asset purchases but may have a positive impact on stated book value of our existing assets. In this case, we may be able to reduce the amount of collateral required to secure borrowings.

Credit Risk

We are subject to varying degrees of credit risk in connection with our assets. Although we expect relatively low credit risk with respect to our portfolios of Agency RMBS, we are subject to the credit risk of the borrowers under the loans for which we hold MSRs. Through loan level due diligence, we attempt to mitigate this risk by seeking to acquire high quality assets at appropriate prices given anticipated and unanticipated losses. We also conduct ongoing monitoring of acquired assets. Nevertheless, unanticipated credit losses could occur which could adversely impact our operating results.
 
Critical Accounting Policies and Use of Estimates

Our financial statements are prepared in accordance with GAAP, which requires the use of estimates that involve the exercise of judgment and the use of assumptions as to future uncertainties. In accordance with U.S. Securities and Exchange Commission guidance, the following discussion addresses the accounting policies that we apply with respect to our operations. Our most critical accounting policies involve decisions and assessments that could affect our reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, as well as our reported amounts of revenues and expenses. We believe that all of the decisions and assessments upon which our financial statements are based were reasonable at the time made and based upon information available to us at that time. Our critical accounting policies and accounting estimates may be expanded over time as we diversify our portfolio. The material accounting policies and estimates that we expect to be most critical to an investor’s understanding of our financial results and condition and require complex management judgment are discussed below.

Classification of Investment Securities and Impairment of Financial Instruments

ASC 320-10, Debt and Equity Securities, requires that at the time of purchase, we designate a security as either trading, available-for-sale, or held-to-maturity depending on our ability and intent to hold such security to maturity. Securities available-for-sale will be reported at fair value, while securities held-to-maturity will be reported at amortized cost. Although we may hold most of our securities until maturity, we may, from time to time, sell any of our securities as part of our overall management of our asset portfolio. Accordingly, we elect to classify substantially all of our securities as available-for-sale. All assets classified as available-for-sale will be reported at fair value, with unrealized gains and losses excluded from earnings and reported as a separate component of stockholders’ equity. See “–Valuation of Financial Instruments.”

When the estimated fair value of a security is less than amortized cost, we consider whether there is an OTTI in the value of the security. An impairment is deemed an OTTI if (i) we intend to sell the security, (ii) it is more likely than not that we will be required to sell the security before recovering our cost basis, or (iii) we do not expect to recover the entire amortized cost basis of the security even if we do not intend to sell the security or believe it is more likely than not that we will be required to sell the security before recovering our cost basis. If the impairment is deemed to be an OTTI, the resulting accounting treatment depends on the factors causing the OTTI. If the OTTI has resulted from (i) our intention to sell the security, or (ii) our judgment that it is more likely than not that we will be required to sell the security before recovering our cost basis, an impairment loss is recognized in current earnings equal to the difference between our amortized cost basis and fair value. If the OTTI has resulted from our conclusion that we will not recover our cost basis even if we do not intend to sell the security, the credit loss portion of the impairment is recorded in current earnings and the portion of the loss related to other factors, such as changes in interest rates, continues to be recognized in accumulated other comprehensive income (loss). Determining whether there is an OTTI may require management to exercise significant judgment and make significant assumptions, including, but not limited to, estimated cash flows, estimated prepayments, loss assumptions, and assumptions regarding changes in interest rates. As a result, actual impairment losses could differ from reported amounts. Such judgments and assumptions are based upon a number of factors, including (i) credit of the issuer or the borrower, (ii) credit rating of the security, (iii) key terms of the security, (iv) performance of the loan or underlying loans, including debt service coverage and loan-to-value ratios, (v) the value of the collateral for the loan or underlying loans, (vi) the effect of local, industry, and broader economic factors, and (vii) the historical and anticipated trends in defaults and loss severities for similar securities.

Valuation of Financial Instruments

ASC 820, Fair Value Measurements and Disclosure, defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability.
 
ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels:
 
·
Level 1 inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.

·
Level 2 inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.

·
Level 3 unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.

The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. We have used Level 2 for our RMBS and for our derivative assets and liabilities and Level 3 for our Servicing Related Assets.

When available, we use quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, we will consult independent pricing services or third party broker quotes, provided that there is no ongoing material event that affects the issuer of the securities being valued or the market. If there is such an ongoing event, or if quoted market prices are not available, we will determine the fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates.
 
Investments in Excess MSRs

Upon acquisition, we elected to record our investments in Excess MSRs at fair value. We made this election in order to provide the users of the financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, we recorded a valuation adjustment on our Excess MSRs investments on a quarterly basis to recognize the changes in fair value in net income as described in “–Revenue Recognition on Investments in Excess MSRs” below.

The fair values of Excess MSRs were determined by projecting net servicing cash flows, which were then discounted to estimate the fair value. The fair values of Excess MSRs are impacted by a variety of factors, including prepayment assumptions, discount rates, delinquency rates, contractually specified servicing fees, and underlying portfolio characteristics. The underlying assumptions and estimated values were corroborated by values received from independent third parties. Changes in fair value of our Excess MSRs were reported in other income or loss in our consolidated statements of income (loss). For additional information on our fair value methodology, see “Part I, Item 1. Notes to Consolidated Financial Statements— Note 9. Fair Value.”

As of June 30, 2017, all of our Excess MSRs have been sold back to Freedom Mortgage.

Revenue Recognition on Investments in Excess MSRs

Investments in Excess MSRs were aggregated into pools, and each pool of Excess MSRs was accounted for in the aggregate. Income for Excess MSRs was accreted into income on an effective yield or “interest” method, based upon the expected excess servicing amount through the expected life of the underlying mortgages. Changes to expected cash flows result in a cumulative retrospective adjustment, which were recorded in the period in which the change in expected cash flows occurs. Under the retrospective method, the income recognized for a reporting period is measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis is calculated as the present value of estimated future cash flows using an effective yield, which is the yield that equates all past actual and current estimated future cash flows to the initial investment. The difference between the fair value of Excess MSRs and their amortized cost basis were recorded as “Unrealized gain (loss) on investments in Excess MSRs” in our consolidated statements of income (loss). Fair value was generally determined by discounting the expected future cash flows using discount rates that incorporated the market risks and liquidity premium specific to the Excess MSRs, and therefore may have differed from their effective yields.
 
Investments in MSRs

The Company has elected the fair value option to record its investments in MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. The Company’s MSRs represent the right to service mortgage loans. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. MSRs are reported at fair value on the consolidated balance sheets. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs as well as servicing fee income and servicing expenses are reported on the consolidated statements of income (loss). In determining the valuation of MSRs, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs (see Part I, Item 1. Notes to Consolidated Financial Statements— Note 9. Fair Value).

Revenue Recognition on Investments in MSRs

Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. Approximately $2.4 million and $1.4 million in reimbursable servicing advances were receivable at June 30, 2017 and December 31, 2016, respectively, and have been classified within “Receivables and other assets” on the consolidated balance sheets.

Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of comprehensive income (loss). The difference between the fair value of MSRs and their amortized cost basis is recorded on the Consolidated statements of income as “Unrealized gain (loss) on investments in MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields.

Revenue Recognition on Securities

Interest income from coupon payments is accrued based on the outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are amortized into interest income over the projected lives of the securities using the interest method. Our policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity.

Repurchase Transactions

We finance the acquisition of our RMBS for our portfolio through repurchase transactions under master repurchase agreements. Repurchase transactions are treated as collateralized financing transactions and are carried at their contractual amounts as specified in the respective transactions. Accrued interest payable is included in “Accrued expenses and other liabilities” on the consolidated balance sheet. Securities financed through repurchase transactions remain on our consolidated balance sheet as an asset and cash received from the purchaser is recorded on our consolidated balance sheet as a liability. Interest paid in accordance with repurchase transactions is recorded in interest expense.
 
Income Taxes

The Company elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. The Company expects to continue to qualify to be treated as a REIT. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its REIT taxable income to stockholders and does not engage in prohibited transactions. The Company’s taxable REIT subsidiaries (“TRSs”), CHMI Solutions, Inc. and Aurora, are subject to U.S. federal income taxes on their taxable income.

The Company accounts for income taxes in accordance with ASC 740, Income Taxes. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties.

Emerging Growth Company Status

On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because we qualify as an “emerging growth company,” we may, under Section 7(a)(2)(B) of the Securities Act of 1933, as amended, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. We have elected to take advantage of this extended transition period until the first to occur of the date that we (i) are no longer an “emerging growth company” or (ii) affirmatively and irrevocably opt out of this extended transition period. As a result, our financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that we are no longer an “emerging growth company” or affirmatively and irrevocably opt out of the extended transition period, upon issuance of a new or revised accounting standard that applies to our financial statements and that has a different effective date for public and private companies, we will disclose the date on which adoption is required for non-emerging growth companies and the date on which we will adopt the recently issued accounting standard.
 
Results of Operations

Presented below is a comparison of the periods indicated (dollars in thousands):

Results of Operations

   
Three Months Ended June 30,
    
Six Months Ended June 30,
  
   
2017
    
2016
    
2017
    
2016
  
Income
                        
Interest income
  
$
10,002
    
$
7,135
    
$
16,080
    
$
12,323
  
Interest expense
    
4,292
      
1,885
      
6,723
      
3,542
  
Net Interest Income
    
5,710
      
5,250
      
9,357
      
8,781
  
Servicing fee income
    
5,493
      
1,574
      
10,067
      
3,069
  
Servicing costs
    
991
      
501
      
2,218
      
903
  
Net servicing income
    
4,502
      
1,073
      
7,849
      
2,166
  
Other Income (Loss)
                                
Realize gain (loss) on RMBS, net
    
(77
)
    
235
      
(333
)
    
555
  
Realized gain (loss) on investments in Excess MSRs, net
    
-
      
-
      
6,678
      
-
  
Realized gain (loss) on derivatives, net
    
(1,797
)
    
(299
)
    
(2,814
)
    
(1,760
)
Realized gain (loss) on acquired assets, net
    
-
      
-
      
-
      
-
  
Unrealized gain (loss) on derivatives, net
    
(4,633
)
    
(1,228
)
    
(3,551
)
    
(6,426
)
Unrealized gain (loss) on Excess MSRs
    
-
      
(149
)
    
-
      
(2,456
)
Unrealized gain (loss) on investments in MSRs
    
(4,507
)
    
(3,076
)
    
7,805
      
(5,308
)
Total Income
    
(802
)
    
1,806
      
24,991
      
(4,448
)
Expenses
                                
General and administrative expense
    
1,045
      
822
      
2,020
      
1,630
  
Management fee to affiliate
    
1,162
      
690
      
2,054
      
1,380
  
Total Expenses
    
2,207
      
1,512
      
4,074
      
3,010
  
Income (Loss) Before Income Taxes
    
(3,009
)
    
294
      
20,917
      
(7,458
)
(Benefit from) provision for corporate business taxes
    
(1,344
)
    
10
      
(5
)
    
(580
)
Net Income (Loss)
    
(1,665
)
    
284
      
20,922
      
(6,878
)
Net income allocated to LTIP - OP Units
    
119
      
(1
)
    
(293
)
    
98
  
Net income (loss) Applicable to Common Stockholders
  
$
(1,546
)
  
$
283
    
$
20,629
    
$
(6,780
)
 
Presented below is summary financial data on our segments together with a reconciliation to the same data for the Company as a whole, for the periods indicated (dollars in thousands):

Segment Summary Data

for

   
Three Months Ended June 30, 2017
  
   
Servicing
Related Assets
    
RMBS
    
All Other
    
Total
  
Interest income
  
$
-
    
$
10,002
    
$
-
    
$
10,002
  
Interest expense
    
123
      
4,169
      
-
      
4,292
  
Net interest income
    
(123
)
    
5,833
      
-
      
5,710
  
Servicing fee income
    
5,493
      
-
      
-
      
5,493
  
Servicing costs
    
991
      
-
      
-
      
991
  
Net servicing income
    
4,502
      
-
      
-
      
4,502
  
Other income
    
(4,507
)
    
(6,507
)
    
-
      
(11,014
)
Other operating expenses
    
-
      
-
      
2,207
      
2,207
  
Corporate business taxes
    
(1,344
)
    
-
      
-
      
(1,344
)
Net income (loss)
  
$
1,216
 
  
$
(674
)
  
$
(2,207
)
  
$
(1,665
)
 
 
Three Months Ended June 30, 2016
  
   
Servicing
Related Assets
    
RMBS
    
All Other
    
Total
  
Interest income
  
$
3,085
    
$
4,050
    
$
-
    
$
7,135
  
Interest expense
    
333
      
1,552
      
-
      
1,885
  
Net interest income
    
2,752
      
2,498
      
-
      
5,250
  
Servicing fee income
    
1,574
      
-
      
-
      
1,574
  
Servicing costs
    
501
      
-
      
-
      
501
  
Net servicing income
    
1,073
      
-
      
-
      
1,073
  
Other income
    
(3,225
)
    
(1,292
)
    
-
      
(4,517
)
Other operating expenses
    
-
      
-
      
1,512
      
1,512
  
Corporate business taxes
    
10
      
-
      
-
      
10
  
Net income (loss)
  
$
590
    
$
1,206
    
$
(1,512
)
  
$
284
  

   
Six Months Ended June 30, 2017
  
   
Servicing
Related Assets
    
RMBS
    
All Other
    
Total
  
Interest income
  
$
523
    
$
15,557
    
$
-
    
$
16,080
  
Interest expense
    
237
      
6,486
      
-
      
6,723
  
Net interest income
    
286
      
9,071
      
-
      
9,357
  
Servicing fee income
    
10,067
      
-
      
-
      
10,067
  
Servicing costs
    
2,218
      
-
      
-
      
2,218
  
Net servicing income
    
7,849
      
-
      
-
      
7,849
  
Other income
    
14,483
      
(6,698
)
    
-
      
7,785
  
Other operating expenses
    
-
      
-
      
4,074
      
4,074
  
Corporate business taxes
    
(5
)
    
-
      
-
      
(5
)
Net income (loss)
  
$
22,623
    
$
2,373
    
$
(4,074
)
  
$
20,922
  

   
Six Months Ended June 30, 2016
  
   
Servicing
Related Assets
    
RMBS
    
All Other
    
Total
  
Interest income
  
$
4,529
    
$
7,794
    
$
-
    
$
12,323
  
Interest expense
    
673
      
2,869
      
-
      
3,542
  
Net interest income
    
3,856
      
4,925
      
-
      
8,781
  
Servicing fee income
    
3,069
      
-
      
-
      
3,069
  
Servicing costs
    
903
      
-
      
-
      
903
  
Net servicing income
    
2,166
      
-
      
-
      
2,166
  
Other income
    
(7,764
)
    
(7,631
)
    
-
      
(15,395
)
Other operating expenses
    
-
      
-
      
3,010
      
3,010
  
Corporate business taxes
    
(580
)
    
-
      
-
      
(580
)
Net income (loss)
  
$
(1,162
)
  
$
(2,706
)
  
$
(3,010
)
  
$
(6,878
)

Interest Income
 
Interest income for the three month period ended June 30, 2017 was $10.0 million as compared to $7.3 million for the three month period ended June 30, 2016 without the effect of the estimated “catch up” premium amortization (benefit) cost adjustment of approximately $(134,000) for the three month period ended June 30, 2016. Interest income for the six month period ended June 30, 2017 was $16.1 million as compared to $14.1 million for the six month period ended June 30, 2016 without the effect of the estimated “catch up” premium amortization (benefit) cost adjustment of approximately $(1.8) million for the six month period ended June 30, 2016. This adjustment makes the interest income for Servicing Related Assets for the three and six month periods ended June 30, 2016 comparable to interest income for Servicing Related Assets for the three and six month periods ended June 30 ,2017, respectively. For the three month period ended June 30, 2017 as compared to the three month period ended June 30, 2016, the increase of approximately $2.7 million in interest income was comprised of a decrease of approximately $3.2 million in Servicing Related Assets (due to the sale of the Excess MSRs to Freedom Mortgage in November 2016 and February 2017) and an increase of approximately $6.0 million in RMBS (due to the temporary investment of proceeds from the sale of common stock in March 2017). For the six month period ended June 30, 2017 as compared to the six month period ended June 30, 2016, the increase of approximately $2.0 million in interest income was comprised of a decrease of approximately $5.8 million in Servicing Related Assets and an increase of approximately $7.8 million in RMBS.
 
Interest Expense

Interest expense for the three month period ended June 30, 2017 was $4.3 million as compared to $1.9 million for the three month period ended June 30, 2016. Interest expense for the six month period ended June 30, 2017 was $6.7 million as compared to $3.5 million for the six month period ended June 30, 2016. For the three month period ended June 30, 2017 as compared to the three month period ended June 30, 2016, the $2.4 million increase was comprised of a decrease approximately $210,000 from Servicing Related Assets and an increase of approximately $2.6 million from RMBS. For the six month period ended June 30, 2017 as compared to the six month period ended June 30, 2016, the $3.2 million increase was comprised of a decrease approximately $436,000 from Servicing Related Assets and an increase of approximately $3.6 million from RMBS. The changes were primarily due to additional repurchase agreement borrowings to finance the increased RMBS holdings due to the temporary investment of the proceeds of the sale of common stock in March 2017 and an overall increase in repurchase rates offset by a lower swap cost.

Change in Fair Value of Investments in Servicing Related Assets
 
The fair value of our investments in Servicing Related Assets for the three month period ended June 30, 2017 decreased by approximately $4.5 million as compared to a decrease of approximately $3.2 million in the three month period ended June 30, 2016. The fair value of our investments in Servicing Related Assets for the six month period ended June 30, 2017 decreased by approximately $14.5 million as compared to a decrease of approximately $7.8 million in the six month period ended June 30, 2016. The decrease was a function of the acquisition of Ginnie Mae MSRs as of February 1, 2017 on loans with an aggregate UPB of approximately $4.5 billion and the significant increase in the value of those MSRs between the time the Company and Freedom Mortgage identified the Ginnie Mae MSRs and the closing of the sale of the Excess MSRs in Pool 2 to Freedom Mortgage in the first quarter of 2017.

Change in Fair Value of Derivatives

The fair value of derivatives at June 30, 2017 decreased by approximately $3.6 million from December 31, 2016, primarily due to changes in interest rates.

General and Administrative Expense

General and administrative expense for the three and six month periods ended June 30, 2017 increased by approximately $223,000 and $390,000 from the three and six month periods ended June 30, 2016, respectively, primarily due to the growth of Aurora.

Management Fees to Affiliate

Management fees for the three and six month periods ended June 30, 2017 increased by approximately $472,000 and $674,000 from the three and six month periods ended June 30, 2016, respectively, primarily due to the sale of the Company’s common stock at the end of the first quarter and the resulting increase in stockholders’ equity.

Net Income Allocated to LTIP - OP Units

Net income allocated to LTIP—OP Units which are owned by directors and officers of the Company and by certain individuals who provide services to us through the Manager, represents approximately 1.4% of net income for the six months ended June 30, 2017.
 
Accumulated Other Comprehensive Income (Loss)

For the period indicated below, our accumulated other comprehensive income (loss) changed due to the following factors (dollars in thousands):

Accumulated Other Comprehensive Income (Loss)

 
Three Months Ended
 June 30, 2017
  
Accumulated other comprehensive gain (loss), March 31, 2017
  
$
(4,721
)
Other comprehensive income (loss)
    
5,887
  
Accumulated other comprehensive gain (loss), June 30, 2017
  
$
1,166
  

 
Six Months Ended
 June 30, 2017
  
Accumulated other comprehensive gain (loss), December 31, 2016
  
$
(6,393
)
Other comprehensive income (loss)
    
7,559
  
Accumulated other comprehensive gain (loss), June 30, 2017
  
$
1,166
  
 
Our GAAP equity changes as the values of our RMBS are marked to market each quarter, among other factors. The primary causes of mark to market changes are changes in interest rates and credit spreads. During the three month period ended June 30, 2017, a 14 basis point decrease in the 10 Year US Treasury rate caused a net unrealized gain on our RMBS of approximately $5.9 million, recorded in accumulated other comprehensive income. During the six month period ended June 30, 2017, a five basis point decrease in the 10 Year US Treasury rate caused a net unrealized gain on our RMBS of approximately $7.6 million, recorded in accumulated other comprehensive income.

Non-GAAP Financial Measures

This Management’s Discussion and Analysis of Financial Condition and Results of Operations section contains analysis and discussion of non-GAAP measurements. The non-GAAP measurements include the following:

•
core earnings; and

•
core earnings per average common share.

Core earnings is a non-GAAP financial measure and is defined by the Company as GAAP net income (loss) applicable to common stockholders, excluding realized gain (loss) on RMBS, realized and unrealized (gain) loss on investments in Excess MSRs and MSRs, realized and unrealized gain (loss) on derivatives and changes in fair value of MSRs primarily due to realization of expected cash flows (runoff). MSRs are adjusted to exclude outstanding LTIP-OP units in our Operating Partnership. Additionally, core earnings excludes (i) any tax (benefit) expense on unrealized (gain) loss on MSRs and (ii) any estimated catch up premium authorization (benefit) cost due to the use of current rather than historical estimates of constant prepayment rates for amortization of Excess MSRs. Core earnings include yield maintenance payments received in connection with the sale of the Company's Excess MSRs. Core earnings are provided for purposes of comparability to other issuers that invest in residential mortgage-related assets. The Company believes providing investors with core earnings, in addition to related GAAP financial measures, gives investors greater transparency into the Company’s ongoing operational performance. The concept of core earnings does have significant limitations, including the exclusion of realized and unrealized gains (losses), and may not be comparable to similarly-titled measures of other peers, which may use different calculations. As a result, core earnings should not be considered a substitute for the Company’s GAAP net income (loss) or as a measure of the Company’s liquidity.

Core Earnings Summary

Core earnings for the three month period ended June 30, 2017, as compared to the three month period ended June 30, 2016, increased by approximately $2.8 million, or $0.00 per share.
 
The following table provides GAAP measures of net income (loss) and details with respect to reconciling the aforementioned line items to core earnings and related per average common share amounts, for the periods indicated (dollars in thousands):
 
   
Three Months Ended June 30,
    
Six Months Ended June 30,
  
   
2017
    
2016
    
2017
    
2016
  
Net income (loss)
  
$
(1,665
)
  
$
284
    
$
20,922
    
$
(6,878
)
Realized (gain) loss on RMBS, net
    
77
      
(235
)
    
333
      
(555
)
Realized (gain) loss on investments in Excess MSRs, net
    
-
      
-
      
(6,678
)
    
-
  
Realized (gain) loss on derivatives, net
    
1,797
      
299
      
2,814
      
1,760
  
Unrealized (gain) loss on derivatives, net
    
4,633
      
1,228
      
3,551
      
6,426
  
Unrealized (gain) loss on investments in Excess MSRs
    
-
      
149
      
-
      
2,456
  
Unrealized (gain) loss on investments in MSRs
    
4,507
      
3,076
      
(7,805
)
    
5,308
  
Tax (benefit) expense on unrealized (gain) loss on MSRs
    
(1,491
)
    
96
      
(140
)
    
(533
)
Estimated “catch up” premium amortization (benefit) cost
    
-
      
134
      
-
      
1,751
  
Changes due to realization of expected cash flows
    
(1,803)
      
(990
)
    
(2,756
)
    
(1,606
)
Yield maintenance income
    
750
      
-
      
1,500
      
-
  
Total core earnings:
  
$
6,805
    
$
4,041
    
$
11,741
    
$
8,129
  
Core earnings attributable to noncontrolling interests in Operating Partnership
    
(75
)
    
(59
)
    
(165
)
    
(115
)
Core Earnings Attributable to Common Stockholders
  
$
6,730
    
$
3,982
    
$
11,576
    
$
8,014
  
Core Earnings Attributable to Common Stockholders, per Share
  
$
0.53
    
$
0.53
    
$
1.14
    
$
1.07
  
GAAP Net income (Loss) Per Share of Common Stock
  
$
(0.12
)
  
$
0.04
    
$
2.03
    
$
(0.90
)

Our Portfolio

Excess MSRs

As of December 31, 2016, we had approximately $29.4 million of estimated carrying value of Excess MSRs which were sold to Freedom Mortgage on February 1, 2017. As a result, we have no investments in Excess MSRs at June 30, 2017.

Our investments at December 31, 2016 represented between a 50% and 85% interest in the Excess MSRs on one pool of mortgage loans with an aggregate UPB at December 31, 2016 of approximately $6.1 billion. Freedom Mortgage was the servicer of the loans underlying these Excess MSRs and earned a basic fee and all ancillary income associated with the portfolio in exchange for providing all servicing functions. In addition, Freedom Mortgage retained the remaining interest in the Excess MSRs. We did not have any servicing duties, liabilities or obligations associated with the servicing of the portfolio underlying these Excess MSRs. These investments in Excess MSRs were subject to a recapture agreement with Freedom Mortgage which has been terminated in connection with the sale described above.

Excess MSR Collateral Characteristics
 
As of December 31, 2016

         
Collateral Characteristics
  
   
Current
Carrying
Amount
    
Original
Principal
Balance
    
Current
Principal
Balance
    
Number of
Loans
    
WA
Coupon
    
WA
Maturity
(months)
    
Weighted
Average
Loan Age
(months)
    
ARMs %(A)
  
Excess MSR Pool 2
                                                
Original Pool
  
$
12,734
    
$
10,704,024
    
$
3,695,561
      
26,338
      
2.58
%
    
304
      
54
      
100.0
%
Recaptured Loans
    
15,792
      
-
      
2,357,581
      
15,051
      
3.56
%
    
333
      
12
      
0.0
%
Recapture Agreement
    
866
      
-
      
-
      
-
      
-
      
-
      
-
      
-
  
Excess MSR Pool 2 Total/WA
  
$
29,392
    
$
10,704,024
    
$
6,053,142
      
41,389
      
2.96
%
    
315
      
38
      
61.1
%
 
(A)
ARMs % represents the percentage of the total principal balance of the pool that corresponds to adjustable-rate residential mortgage loan (“ARMs”) and hybrid ARMs.
 
MSRs

By virtue of our acquisition of Aurora on May 29, 2015, we acquired its portfolio of Fannie Mae and Freddie Mac MSRs. Subsequently, Aurora acquired four portfolios of Fannie Mae and Freddie Mac MSRs on the following dates with respect to loans with the specified aggregate UPB: October 30, 2015, approximately $1.4 billion; January 29, 2016, approximately $463 million; June 30, 2016, approximately $1.3 billion; and May 31, 2017, approximately $252 million. The following tables set forth certain characteristics of the mortgage loans underlying those MSRs as of the dates indicated (dollars in thousands):

MSR Collateral Characteristics

As of June 30, 2017

         
Collateral Characteristics
  
   
Current
Carrying
Amount
    
Current
Principal
Balance
    
WA Coupon
    
WA
Servicing
Fee
    
WA
Maturity
(months)
    
Weighted
Average
Loan Age
(months)
    
ARMs %(A)
  
MSRs
                                          
Conventional
  
$
31,491
    
$
3,317,157
      
3.83
%
    
0.25
%
    
281
      
36
      
0.1
%
Government
    
42,964
      
4,290,023
      
3.36
%
    
0.30
%
    
339
      
14
      
-
%
MSR Total/WA
  
$
74,455
    
$
7,607,180
      
3.56
%
    
0.28
%
    
314
      
24
      
0.0
%

As of December 31, 2016

         
Collateral Characteristics
  
  Current
Carrying
Amount
  
Current
Principal
Balance
  
WA Coupon
  
WA
Servicing
Fee
  
WA
Maturity
(months)
  
Weighted
Average
Loan Age
(months)
  
ARMs %(A)
  
MSRs
                                          
Conventional
  
$
31,871
    
$
3,262,181
      
3.81
%
    
0.25
%
    
284
      
31
      
0.2
%
MSR Total/WA
  
$
31,871
    
$
3,262,181
      
3.81
%
    
0.25
%
    
284
      
31
      
0.2
%

(A)
ARMs % represents the percentage of the total principal balance of the pool that corresponds to ARMs and hybrid ARMs.

RMBS

The following tables summarize the characteristics of our RMBS portfolio and certain characteristics of the collateral underlying our RMBS as of the dates indicated (dollars in thousands):
 
RMBS Characteristics

As of June 30, 2017
 
           
Gross Unrealized
          
Weighted Average
  
Asset Type
  
Original
Face
 Value
    
Book
 Value
    
Gains
    
Losses
    
Carrying
Value(A)
    
Number
of
Securities
  
Rating
  
Coupon
    
Yield(C)
    
Maturity
(Years)(D)
  
RMBS
                                    
 
                  
Fannie Mae
  
$
933,876
    
$
887,558
    
$
2,951
    
$
(5,308
)
  
$
885,201
      
123
  
(B)
    
3.80
%
    
3.60
%
    
26
  
Freddie Mac
    
450,161
      
426,039
      
1,418
      
(2,201
)
    
425,256
      
52
  
(B)
    
3.79
%
    
3.60
%
    
26
  
CMOs
    
74,225
      
63,649
      
4,328
      
-
      
67,977
      
15
  
Unrated
    
5.04
%
    
5.33
%
    
12
  
Total/Weighted Average
  
$
1,458,262
    
$
1,377,246
    
$
8,697
    
$
(7,509
)
  
$
1,378,434
      
190
  
 
    
3.85
%
    
3.68
%
    
25
  
 
As of December 31, 2016
 
           
Gross Unrealized
          
Weighted Average
  
Asset Type
  
Original
Face
 Value
    
Book
 Value
    
Gains
    
Losses
    
Carrying
Value(A)
    
Number
of
Securities
  
Rating
  
Coupon
    
Yield(C)
    
Maturity
(Years)(D)
  
RMBS
                                    
 
                  
Fannie Mae
  
$
493,645
    
$
454,012
    
$
1,517
    
$
(6,592
)
  
$
448,937
      
68
  
(B)
    
3.74
%
    
3.52
%
    
24
  
Freddie Mac
    
222,469
      
200,207
      
587
      
(2,691
)
    
198,103
      
27
  
(B)
    
3.62
%
    
3.44
%
    
26
  
CMOs
    
34,596
      
24,086
      
857
      
(79
)
    
24,864
      
9
  
Unrated
    
4.78
%
    
4.24
%
    
12
  
Total/Weighted Average
  
$
750,710
    
$
678,305
    
$
2,961
    
$
(9,362
)
  
$
671,904
      
104
  
 
    
3.74
%
    
3.53
%
    
24
  
 
 
(A)
See “Part I, Item 1. Notes to Consolidated Financial Statements—Note 9. Fair Value” regarding the estimation of fair value, which is equal to carrying value for all securities.
(B)
We used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than CMOs, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the Book Value of settled securities.
(D)
The weighted average maturity is based on the timing of expected principal reduction on the assets.
 
The following table summarizes the net interest spread of our RMBS portfolio as of the dates indicated:

Net Interest Spread

   
June 30, 2017
    
December 31, 2016
  
Weighted Average Asset Yield
    
3.44
%
    
3.22
%
Weighted Average Interest Expense
    
1.66
%
    
1.56
%
Net Interest Spread
    
1.78
%
    
1.66
%
 
Liquidity and Capital Resources

Liquidity is a measurement of our ability to meet potential cash requirements, including ongoing commitments to repay borrowings, fund and maintain investments and other general business needs. Additionally, to maintain our status as a REIT under the Code, we must distribute annually at least 90% of our REIT taxable income. In future years, a portion of this requirement may be able to be met through stock dividends, rather than cash, subject to limitations based on the value of our stock.

Our primary sources of funds for liquidity consist of cash provided by operating activities (primarily income from our investments in Excess MSRs and RMBS and net servicing income from our MSRs), sales or repayments of RMBS and borrowings under repurchase agreements and the MSR financing arrangements.

In the future, sources of funds for liquidity may include potential additional MSR financing, warehouse agreements, securitizations and the issuance of equity or debt securities, when feasible. The recent sale of our common stock resulted in approximately $81.1 million of net proceeds which have been initially invested in Agency RMBS on a temporary basis pending re-deployment of a significant portion of such proceeds in MSRs. Our primary uses of funds are the payment of interest, management fees, outstanding commitments, other operating expenses, investments in new or replacement assets and the repayment of borrowings, as well as dividends. We seek to maintain adequate cash reserves and other sources of available liquidity to meet any margin calls resulting from decreases in value related to a reasonably possible (in the opinion of management) change in interest rates.

As of the date of this filing, we have sufficient liquid assets to satisfy all of our short-term recourse liabilities. With respect to the next twelve months, we expect that our cash on hand combined with our cash flow provided by operations will be sufficient to satisfy our anticipated liquidity needs with respect to our current investment portfolio, including related financings, potential margin calls and operating expenses. While it is inherently more difficult to forecast beyond the next twelve months, we currently expect to meet our long-term liquidity requirements through our cash on hand and, if needed, additional borrowings, proceeds received from repurchase agreements and similar financings, proceeds from equity offerings and the liquidation or refinancing of our assets.

Our operating cash flow differs from our net income due primarily to: (i) accretion of discount or premium on our RMBS, (ii) unrealized gains or losses on our Servicing Related Assets, and (iii) OTTI on our securities, if any.
 
Repurchase Agreements

As of June 30, 2017, we had repurchase agreements with 27 counterparties and approximately $1,197 million of outstanding repurchase agreement borrowings from 17 of those counterparties, which were used to finance RMBS. As of June 30, 2017, our exposure (defined as the amount of cash and securities pledged as collateral, less the borrowing under the repurchase agreement) to any of the counterparties under the repurchase agreements did not exceed five percent of the Company’s equity. Under these agreements, which are uncommitted facilities, we sell a security to a counterparty and concurrently agree to repurchase the same security at a later date plus the interest charged. The sale price represents financing proceeds and the difference between the sale and repurchase prices represents interest on the financing. The price at which the security is sold generally represents the market value of the security less a discount or “haircut.” The weighted average haircut on our repurchase debt at June 30, 2017, was approximately 5.6%. During the term of the repurchase agreement, which can be as short as 30 days, the counterparty holds the security and posted margin as collateral. The counterparty monitors and calculates what it estimates to be the value of the collateral during the term of the agreement. If this value declines by more than a de minimis threshold, the counterparty requires us to post additional collateral (or “margin”) in order to maintain the initial haircut on the collateral. This margin is typically required to be posted in the form of cash and cash equivalents. Furthermore, we are, from time to time, a party to derivative agreements or financing arrangements that may be subject to margin calls based on the value of such instruments.

Set forth below is the average aggregate balance of borrowings under the Company’s repurchase agreements for each of the periods shown and the aggregate balance as of the end of each such period (dollars in thousands):

Repurchase Agreement Average and Maximum Amounts

Quarter Ended
  
Average Monthly
 Amount
    
Maximum Month-End
Amount
    
Quarter Ending
 Amount
  
June 30, 2017
  
$
1,160,226
    
$
1,197,440
    
$
1,197,440
  
March 31, 2017
  
$
727,550
    
$
773,317
    
$
773,317
  
December 31, 2016
  
$
636,880
    
$
688,628
    
$
594,615
  
September 30, 2016
  
$
511,475
    
$
537,139
    
$
466,209
  
June 30, 2016
  
$
485,476
    
$
544,862
    
$
456,075
  
March 31, 2016
  
$
406,360
    
$
414,153
    
$
398,374
  
December 31, 2015
  
$
408,227
    
$
443,446
    
$
385,560
  
September 30, 2015
  
$
396,013
    
$
440,727
    
$
440,727
  
June 30, 2015
  
$
382,333
    
$
384,386
    
$
384,386
  
March 31, 2015
  
$
376,083
    
$
377,361
    
$
373,868
  
December 31, 2014
  
$
354,878
    
$
363,493
    
$
362,126
  
September 30, 2014
  
$
315,830
    
$
329,239
    
$
329,239
  
June 30, 2014
  
$
288,881
    
$
293,747
    
$
293,747
  
March 31, 2014
  
$
263,505
    
$
269,982
    
$
269,982
  
December 31, 2013
  
$
267,038
    
$
270,555
    
$
261,302
  
September 30, 2013
  
$
-
    
$
-
    
$
-
  
 
The increases in the Company’s borrowings under its repurchase agreements were primarily due to the temporary investment of funds in Agency RMBS received from the following sources pending the redeployment of a portion of such funds into MSR investments: amounts borrowed under the MSR Financing Facility; the sale of our Excess MSRs; and the sale of common stock in March 2017.
  
These short-term borrowings were used to finance certain of our investments in RMBS. The RMBS repurchase agreements are guaranteed by the Company. The weighted average difference between the market value of the assets and the face amount of available financing for the RMBS repurchase agreements, or the haircut, was 5.6% and 5.4% as of June 30, 2017 and December 31, 2016, respectively. The following tables provide additional information regarding our repurchase agreements (dollars in thousands):
 
Repurchase Agreement Characteristics

As of June 30, 2017

   
RMBS Market Value
    
Repurchase Agreements
    
Weighted Average Rate
  
Less than one month
  
$
383,570
    
$
366,298
      
1.13
%
One to three months
    
589,775
      
565,295
      
1.17
%
Greater than three months
    
278,425
      
265,847
      
1.29
%
Total/Weighted Average
  
$
1,251,770
    
$
1,197,440
      
1.19
%
 
As of December 31, 2016

   
RMBS Market Value
    
Repurchase Agreements
    
Weighted Average Rate
  
Less than one month
  
$
65,121
    
$
60,690
      
1.14
%
One to three months
    
464,585
      
456,502
      
0.91
%
Greater than three months
    
78,854
      
77,423
      
0.90
%
Total/Weighted Average
  
$
608,560
    
$
594,615
      
0.93
%

The amount of collateral as of June 30, 2017 and December 31, 2016, including cash, was $1,257.5 million and $632.1 million, respectively.

The weighted average term to maturity of our borrowings under repurchase agreements as of June 30, 2017 and December 31, 2016 was 58 days and 65 days, respectively.

MSR Financing Arrangements

In September 2016, Aurora and QRS III entered into a loan and security agreement, pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings up to a maximum of $25 million outstanding at any one time. The MSR financing facility has a two-year revolving period, subject to extension by agreement, during which only interest payments are due. Borrowings bear interest at a spread over one month LIBOR. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan with monthly payments of interest (calculated as a spread over the rate for one-year interest rate swaps) and principal (calculated on a ten-year amortization schedule). At June 30, 2017 and December 31, 2016, approximately $15.5 million and $14.0 million, respectively, was outstanding under the MSR Financing Facility.

In May 2017, the Company, Aurora and QRS IV obtained a $20 million loan secured by the pledge of Aurora’s Ginnie Mae MSRs and the ownership interest in QRS IV. The loan bears interest at a fixed rate of 6.18% per annum, amortizes on a ten-year amortization schedule and is due on May 18, 2022.

Cash Flows

Our operating activities used cash of approximately $230.5 million and our investing activities used cash of approximately $239.2 million for the three month period ended June 30, 2017. The cash used in operating activities and investing activities is a result of the execution of our ongoing investment strategy.

Dividends

We conduct our operations in a manner intended to satisfy the requirements for qualification as a REIT for U.S. federal income tax purposes. U.S. federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and that it pay tax at regular corporate rates to the extent that it annually distributes less than 100% of its taxable income. We intend to make regular quarterly distributions of all or substantially all of our REIT taxable income to holders of our common stock out of assets legally available for this purpose, if and to the extent authorized by our board of directors. Before we pay any dividend, whether for U.S. federal income tax purposes or otherwise, we must first meet both our operating requirements and debt service on our repurchase agreements and other debt payable. If our cash available for distribution is less than our REIT taxable income, we could be required to sell assets or borrow funds to make cash distributions, or we may make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities. We will make distributions only upon the authorization of our board of directors. The amount, timing and frequency of distributions will be authorized by our board of directors based upon a variety of factors, including:
 
·
actual results of operations;
·
our level of retained cash flows;
·
our ability to make additional investments in our target assets;
·
restrictions under Maryland law;
·
any debt service requirements;
·
our taxable income;
·
the annual distribution requirements under the REIT provisions of the Code; and
·
other factors that our board of directors may deem relevant

Our ability to make distributions to our stockholders will depend upon the performance of our investment portfolio, and, in turn, upon our Manager’s management of our business. Distributions will be made quarterly in cash to the extent that cash is available for distribution. We may not be able to generate sufficient cash available for distribution to pay distributions to our stockholders. In addition, our board of directors may change our distribution policy in the future.
 
We make distributions based on a number of factors, including an estimate of taxable earnings per common share. Dividends distributed and taxable and GAAP earnings will typically differ due to items such as fair value adjustments, differences in premium amortization and discount accretion, and nondeductible general and administrative expenses. Our dividend per share may be substantially different than our taxable earnings and GAAP earnings per share. Our GAAP loss per share for the three month periods ended June 30, 2017 was $0.12. Our GAAP earnings per share for the three month periods ended June 30, 2016 was $0.04.

Off-balance Sheet Arrangements

As of June 30, 2017, we did not have any off-balance sheet arrangements. We did not have any relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured investment vehicles, or special purpose or variable interest entities, established to facilitate off-balance sheet arrangements or other contractually narrow or limited purposes. Further, we have not guaranteed any obligations of unconsolidated entities or entered into any commitment or intend to provide additional funding to any such entities.

Contractual Obligations

Our contractual obligations as of June 30, 2017 and December 31, 2016, included repurchase agreements, borrowings under the MSR financing arrangements, our management agreement with our Manager, our subservicing agreement with Freedom Mortgage and our joint marketing recapture agreement with Freedom Mortgage. Pursuant to our management agreement, our Manager is entitled to receive a management fee and the reimbursement of certain expenses.
 
The following table summarizes our contractual obligations as of the dates indicated (dollars in thousands):
 
Contractual Obligations Characteristics

As of June 30, 2017

   
Less than
 1 year
    
1 to 3
 years
    
3 to 5
 years
    
More than
 5 years
    
Total
  
Repurchase agreements
                              
Borrowings under repurchase agreements
  
$
1,197,440
    
$
-
    
$
-
    
$
-
    
$
1,197,440
  
Interest on repurchase agreement borrowings(A)
  
$
2,805
    
$
-
    
$
-
    
$
-
    
$
2,805
  
MSR Term Facility
                                        
Borrowings under MSR Term Facility
  
$
2,000
    
$
4,000
    
$
14,000
    
$
-
    
$
20,000
  
Interest on MSR Term Facility borrowings
  
$
1,244
    
$
2,019
    
$
1,490
    
$
-
    
$
4,753
  
Financing Facility
                                        
Borrowings under Financing Facility
  
$
-
    
$
2,153
    
$
13,347
    
$
-
    
$
15,500
  
Interest on MSR Financing borrowings
  
$
768
    
$
1,546
    
$
890
    
$
-
    
$
3,204
  
 
As of December 31, 2016

   
Less than
 1 year
    
1 to 3
 years
    
3 to 5
 years
    
More than
 5 years
    
Total
  
Repurchase agreements
                              
Borrowings under repurchase agreements
  
$
594,615
    
$
-
    
$
-
    
$
-
    
$
594,615
  
Interest on repurchase agreement borrowings(A)
  
$
877
    
$
-
    
$
-
    
$
-
    
$
877
  
Term Loan
                                        
Borrowings under Term Loan facility
  
$
2,841
    
$
6,045
    
$
-
    
$
-
    
$
8,886
  
Interest on Term Loan borrowings
  
$
424
    
$
350
    
$
-
    
$
-
    
$
774
  
MSR Financing Facility
                                        
Borrowings under MSR Financing Facility
  
$
-
    
$
1,388
    
$
12,612
    
$
-
    
$
14,000
  
Interest on MSR Financing borrowings
  
$
622
    
$
1,313
    
$
1,075
    
$
-
    
$
3,010
  

(A)
Interest expense is calculated based on the interest rate in effect at June 30, 2017 and includes all interest expense incurred and expected to be incurred in the future through the contractual maturity of the associated repurchase agreement.

The table above does not include amounts due under the management agreement with our Manager. Those payments are discussed below.

Management Agreement

The management agreement with our Manager provides that our Manager is entitled to receive a management fee, the reimbursement of certain expenses and, in certain circumstances, a termination fee. The management fee is an amount equal to 1.5% per annum of our stockholders’ equity, adjusted as set forth in the management agreement, and calculated and payable quarterly in arrears. We will also be required to pay a termination fee equal to three times the average annual management fee earned by our Manager during the two four-quarter periods ending as of the end of the fiscal quarter preceding the date of termination. Such termination fee will be payable upon termination of the management agreement by us without cause or by our Manager if we materially breach the management agreement.

We pay all of our direct operating expenses, except those specifically required to be borne by our Manager under the management agreement. Our Manager is responsible for all costs incident to the performance of its duties under the management agreement. Our Manager uses the proceeds from its management fee in part to pay Freedom Mortgage for services provided under the Services Agreement between the Manager and Freedom Mortgage. Our chief financial officer receives a nominal portion of his overall compensation directly from Aurora for acting as its president. With that exception, our officers receive no cash compensation directly from us. Our Manager provides us with our officers. Our Manager is entitled to be reimbursed for an agreed upon portion of the costs of the wages, salary and other benefits with respect to our chief financial officer, controller and general counsel, originally based on the percentages of their working time and efforts spent on matters related to our company. The amount of the wages, salary and benefits reimbursed with respect to the officers our Manager provides to us is subject to the approval of the compensation committee of our board of directors.
 
The term of the management agreement will expire on October 22, 2020 and will be automatically renewed for a one-year term on such date and on each anniversary of such date thereafter unless terminated or not renewed as described below. Either we or our Manager may elect not to renew the management agreement upon expiration of its initial term or any renewal term by providing written notice of non-renewal at least 180 days, but not more than 270 days, before expiration. In the event we elect not to renew the term, we will be required to pay our Manager the termination fee described above. We may terminate the management agreement at any time for cause effective upon 30 days prior written notice of termination from us to our Manager, in which case no termination fee would be due. Our board of directors will review our Manager’s performance prior to the automatic renewal thereof and, as a result of such review, upon the affirmative vote of at least two-thirds of the members of our board of directors or of the holders of a majority of our outstanding common stock, we may terminate the management agreement based upon unsatisfactory performance by our Manager that is materially detrimental to us or a determination by our independent directors that the management fees payable to our Manager are not fair, subject to the right of our Manager to prevent such a termination by agreeing to a reduction of the management fees payable to our Manager. Upon any termination of the management agreement based on unsatisfactory performance or unfair management fees, we are required to pay our Manager the termination fee described above. Our Manager may terminate the management agreement, without payment of the termination fee, in the event we become regulated as an investment company under the Investment Company Act. Our Manager may also terminate the management agreement upon 60 days’ written notice if we default in the performance of any material term of the management agreement and the default continues for a period of 30 days after written notice to us, whereupon we would be required to pay our Manager the termination fee described above.

Subservicing Agreement

Freedom Mortgage is directly servicing the Company’s portfolio of Fannie Mae and Freddie Mac MSRs, and beginning in February 2017, Ginnie Mae MSRs, pursuant to a subservicing agreement entered into on June 10, 2015. The agreement has an initial term of three years, expiring on September 1, 2018, and is subject to automatic renewal for additional three year terms unless either party chooses not to renew. The agreement may be terminated without cause by either party by giving notice as specified in the agreement. If the agreement is not renewed by the Company or terminated by the Company without cause, market rate de-boarding fees will be due to the subservicer. Under that agreement, Freedom Mortgage agrees to service the applicable mortgage loans in accordance with applicable law and the requirements of the applicable agency. The Company pays fees for specified services.

Joint Marketing Recapture Agreement

In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage attempts to refinance certain mortgage loans underlying Aurora’s servicing MSR portfolio as directed by Aurora. If a loan is refinanced, Aurora will pay Freedom Mortgage a fee for its origination services. Freedom will be entitled to sell the loan for its own benefit and will transfer the related MSR to Aurora. The agreement had an initial term of one year, subject to automatic renewals of one year each and subject to termination by either party upon 60 days prior notice. All new loans must qualify for sale to Fannie Mae or Freddie Mac and meet other conditions set forth in the agreement. During the three month period ended June 30, 2017, MSRs on 35 loans with an aggregate unpaid principal balance of approximately $6.8 million had been received from Freedom Mortgage which generated approximately $5,200 in fees due to Freedom Mortgage.

Inflation

Virtually all of our assets and liabilities are financial in nature. As a result, interest rates and other factors affect our performance more so than inflation, although inflation rates can often have a meaningful influence over the direction of interest rates. Furthermore, our financial statements are prepared in accordance with GAAP and our distributions are determined by our board of directors primarily based on our REIT taxable income, and, in each case, our activities and balance sheet are measured with reference to historical cost and/or fair market value without considering inflation.
 
Item 3.
Quantitative and Qualitative Disclosures about Market Risk

We seek to manage our risks related to the credit quality of our assets, interest rates, liquidity, prepayment speeds and market value while, at the same time, seeking to provide an opportunity to stockholders to realize attractive risk-adjusted returns through ownership of our capital stock. While we do not seek to avoid risk completely, we believe the risk can be quantified from historical experience and seek to actively manage that risk, to earn sufficient compensation to justify taking those risks and to maintain capital levels consistent with the risks we undertake.

Interest Rate Risk

Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political considerations, as well as other factors beyond our control. We are subject to interest rate risk in connection with our assets and our related financing obligations. In general, we finance the acquisition of certain of our assets through financings in the form of repurchase agreements and bank facilities. We expect to make use of MSR financing, warehouse facilities, securitizations, re-securitizations, and public and private equity and debt issuances in addition to transaction or asset specific funding arrangements. In addition, the values of our Servicing Related Assets are highly sensitive to changes in interest rates, historically increasing when rates rise and decreasing when rates decline. Subject to maintaining our qualification as a REIT, we attempt to mitigate interest rate risk through utilization of hedging instruments, primarily interest rate swap agreements. We may also use financial futures, options, interest rate cap agreements, and forward sales. These instruments are intended to serve as a hedge against future interest rate changes on our borrowings.

Interest Rate Effect on Net Interest Income

Our operating results depend in large part on differences between the income earned on our assets and our cost of borrowing and hedging activities. The costs of our borrowings are generally based on prevailing market interest rates. During a period of rising interest rates, our borrowing costs generally will increase (1) while the yields earned on our leveraged fixed-rate mortgage assets will remain static and (2) at a faster pace than the yields earned on our leveraged adjustable-rate and hybrid adjustable-rate RMBS, which could result in a decline in our net interest spread and net interest margin. The severity of any such decline would depend on our asset/liability composition at the time as well as the magnitude and duration of the interest rate increase. Further, an increase in short-term interest rates could also have a negative impact on the market value of our assets, other than our Servicing Related Assets. A decrease in interest rates could have a negative impact on the market value of our Servicing Related Assets. If any of these events happen, we could experience a decrease in net income or incur a net loss during these periods, which could adversely affect our liquidity and results of operations.

Hedging techniques are partly based on assumed levels of prepayments of our assets, specifically our RMBS. If prepayments are slower or faster than assumed, the life of the investment will be longer or shorter, which would reduce the effectiveness of any hedging strategies we may use and may cause losses on such transactions. Hedging strategies involving the use of derivatives are highly complex and may produce volatile returns.

Interest Rate Cap Risk

Any adjustable-rate RMBS that we acquire will generally be subject to interest rate caps, which potentially could cause such RMBS to acquire many of the characteristics of fixed-rate securities if interest rates were to rise above the cap levels. This issue will be magnified to the extent we acquire adjustable-rate and hybrid adjustable-rate RMBS that are not based on mortgages which are fully indexed. In addition, adjustable-rate and hybrid adjustable-rate RMBS may be subject to periodic payment caps that result in some portion of the interest being deferred and added to the principal outstanding. This could result in our receipt of less cash income on such assets than we would need to pay the interest cost on our related borrowings. To mitigate interest rate mismatches, we may utilize the hedging strategies discussed above under “—Interest Rate Risk.” Actual economic conditions or implementation of decisions by our Manager may produce results that differ significantly from the estimates and assumptions used in our models.
 
Prepayment Risk; Extension Risk
 
The following tables summarize the estimated change in fair value of our interests in the Excess MSRs as of the dates indicated given several parallel changes in the discount rate and voluntary prepayment rate (dollars in thousands):

Excess MSR Fair Value Changes

As of December 31, 2016

     
(20)%
 
    
(10)%
 
    
-%
    
10%
 
    
20%
Discount Rate Shift in %
                                        
Estimated FV
  
$
32,595
    
$
30,911
    
$
29,392
    
$
28,016
    
$
26,763
  
Change in FV
  
$
3,203
    
$
1,519
    
$
-
    
$
(1,376
)
  
$
(2,629
)
% Change in FV
    
11
%
    
5
%
    
-
      
(5
)%
    
(9
)%
Voluntary Prepayment Rate Shift in %
                                        
Estimated FV
  
$
31,710
    
$
30,517
    
$
29,392
    
$
28,331
    
$
27,336
  
Change in FV
  
$
2,318
    
$
1,125
    
$
-
    
$
(1,062
)
  
$
(2,056
)
% Change in FV
    
8
%
    
4
%
    
-
      
(4
)%
    
(7
)%
Recapture Rate Shift in %
                                        
Estimated FV
  
$
29,219
    
$
29,306
    
$
29,392
    
$
29,479
    
$
29,565
  
Change in FV
  
$
(173
)
  
$
(87
)
  
$
-
    
$
87
    
$
173
  
% Change in FV
    
(1
)%
    
(0
)%
    
-
      
0
%
    
1
%
 
The following tables summarize the estimated change in fair value of our interests in the MSRs as of the dates indicated given several parallel shifts in the discount rate and voluntary prepayment rate (dollars in thousands):

MSR Fair Value Changes

As of June 30, 2017

Conventional

     
(20)%
    
(10)%
    
-%
 
    
10%
    
20%
Discount Rate Shift in %
                                        
Estimated FV
  
$
33,979
    
$
32,691
    
$
31,491
    
$
30,370
    
$
29,320
  
Change in FV
  
$
2,488
    
$
1,201
    
$
-
    
$
(1,121
)
  
$
(2,171
)
% Change in FV
    
8
%
    
4
%
    
-
      
(4
)%
    
(7
)%
Voluntary Prepayment Rate Shift in %
                                  
Estimated FV
  
$
34,723
    
$
33,042
    
$
31,491
    
$
30,056
    
$
28,724
  
Change in FV
  
$
3,232
    
$
1,551
    
$
-
    
$
(1,435
)
  
$
(2,767
)
% Change in FV
    
10
%
    
5
%
    
-
      
(5
)%
    
(9
)%
Servicing Cost Shift in %
                                        
Estimated FV
  
$
32,622
    
$
32,056
    
$
31,491
    
$
30,926
    
$
30,360
  
Change in FV
  
$
1,131
    
$
565
    
$
-
    
$
(565
)
  
$
(1,131
)
% Change in FV
    
4
%
    
2
%
    
-
      
(2
)%
    
(4
)%
 
Government

     
(20)%
    
(10)%
    
-%
    
10%
    
20%
Discount Rate Shift in %
                                        
Estimated FV
  
$
47,411
    
$
45,083
    
$
42,964
    
$
41,030
    
$
39,259
  
Change in FV
  
$
4,446
    
$
2,118
    
$
-
    
$
(1,934
)
  
$
(3,706
)
% Change in FV
    
10
%
    
5
%
    
-
      
(5
)%
    
(9
)%
Voluntary Prepayment Rate Shift in %
                                  
Estimated FV
  
$
46,320
    
$
44,592
    
$
42,964
    
$
41,429
    
$
39,979
  
Change in FV
  
$
3,356
    
$
1,628
    
$
-
    
$
(1,536
)
  
$
(2,985
)
% Change in FV
    
8
%
    
4
%
    
-
      
(4
)%
    
(7
)%
Servicing Cost Shift in %
                                        
Estimated FV
  
$
44,763
    
$
43,864
    
$
42,964
    
$
42,065
    
$
41,166
  
Change in FV
  
$
1,799
    
$
899
    
$
-
    
$
(899
)
  
$
(1,799
)
% Change in FV
    
4
%
    
2
%
    
-
      
(2
)%
    
(4
)%
 
As of December 31, 2016
 
Conventional

     
(20)%
    
(10)%
    
-%
    
10%
    
20%
Discount Rate Shift in %
                                        
Estimated FV
  
$
34,443
    
$
33,110
    
$
31,871
    
$
30,716
    
$
29,638
  
Change in FV
  
$
2,573
    
$
1,239
    
$
-
    
$
(1,155
)
  
$
(2,232
)
% Change in FV
    
8
%
    
4
%
    
-
      
(4
)%
    
(7
)%
Voluntary Prepayment Rate Shift in %
                                        
Estimated FV
  
$
34,963
    
$
33,355
    
$
31,871
    
$
30,497
    
$
29,222
  
Change in FV
  
$
3,093
    
$
1,485
    
$
-
    
$
(1,374
)
  
$
(2,648
)
% Change in FV
    
10
%
    
5
%
    
-
      
(4
)%
    
(8
)%
Servicing Cost Shift in %
                                        
Estimated FV
  
$
32,915
    
$
32,393
    
$
31,871
    
$
31,348
    
$
30,826
  
Change in FV
  
$
1,044
    
$
522
    
$
-
    
$
(522
)
  
$
(1,044
)
% Change in FV
    
3
%
    
2
%
    
-
      
(2
)%
    
(3
)%
 
The following tables summarize the estimated change in fair value of our RMBS as of the dates indicated given several parallel shifts in interest rates (dollars in thousands):

RMBS Fair Value Changes

As of June 30, 2017

         
Fair Value Change
  
   
June 30, 2017
    
+25 Bps
    
+50 Bps
    
+75 Bps
    
+100 Bps
    
+150 Bps
  
RMBS Portfolio
                                    
RMBS, available-for-sale, net of swaps
  
$
1,363,732
                                
RMBS Total Return (%)
            
(0.36
)%
    
(0.84
)%
    
(1.40
)%
    
(2.04
)%
    
(3.47
)%
RMBS Dollar Return
          
$
(4,959
)
  
$
(11,442
)
  
$
(19,114
)
  
$
(27,727
)
  
$
(47,156
)
 
As of December 31, 2016

         
Fair Value Change
  
   
December 31, 2016
    
+25 Bps
    
+50 Bps
    
+75 Bps
    
+100 Bps
    
+150 Bps
  
RMBS Portfolio
                                    
RMBS, available-for-sale, net of swaps
  
$
672,190
                                
RMBS Total Return (%)
            
(0.46
)%
    
(1.02
)%
    
(1.66
)%
    
(2.37
)%
    
(3.87
)%
RMBS Dollar Return
          
$
(3,069
)
  
$
(6,769
)
  
$
(11,092
)
  
$
(15,775
)
  
$
(25,834
)

The sensitivity analysis is hypothetical and is presented solely to assist an analysis of the possible effects on the fair value under various scenarios. It is not a prediction of the amount or likelihood of a change in any particular scenario. In particular, the results are calculated by stressing a particular economic assumption independent of changes in any other assumption. In practice, changes in one factor may result in changes in another, which might counteract or amplify the sensitivities. In addition, changes in the fair value based on a 10% variation in an assumption generally may not be extrapolated because the relationship of the change in the assumption to the change in fair value may not be linear.

Counterparty Risk

When we engage in repurchase transactions, we generally sell securities to lenders (i.e., repurchase agreement counterparties) and receive cash from the lenders. The lenders are obligated to resell the same securities back to us at the end of the term of the transaction. Because the cash we receive from the lender when we initially sell the securities to the lender is less than the value of those securities (this difference is the haircut), if the lender defaults on its obligation to resell the same securities back to us we would incur a loss on the transaction equal to the amount of the haircut (assuming there was no change in the value of the securities). As of June 30, 2017, the Company’s exposure (defined as the amount of cash and securities pledged as collateral, less the borrowing under the repurchase agreement) to any of the counterparties under the repurchase agreements did not exceed five percent of the Company’s equity.

Our interest rate swaps are required to be cleared on an exchange which greatly mitigates, but does not entirely eliminate, counterparty risk.

Our investments in Servicing Related Assets are dependent on the mortgage sub-servicer, Freedom Mortgage, to perform its sub-servicing obligations. If our sub-servicer fails to perform its obligations and is terminated by one or more Agencies as an approved servicer, the value of our MSRs may be adversely affected. In addition, when we purchase MSRs from third parties, we rely, to a certain extent, on the ability and willingness of the sellers to perform their contractual obligations to remedy breaches of representations and warranties or to repurchase the affected loan and indemnify us for any losses.

Funding Risk

To the extent available on desirable terms, we expect to continue to finance our RMBS with repurchase agreement financing. We also anticipate continuing to finance our MSRs with bank loans secured by a pledge of those MSRs. Over time, as market conditions change, in addition to these financings, we may use other forms of leverage. Weakness in the financial markets, the residential mortgage markets and the economy generally could adversely affect one or more of our potential lenders and could cause one or more of our potential lenders to be unwilling or unable to provide us with financing or to increase the costs of that financing.

Liquidity Risk

Our Servicing Related Assets, as well as some of the assets that may in the future comprise our portfolio, are not publicly traded. A portion of these assets may be subject to legal and other restrictions on resale or will otherwise be less liquid than publicly-traded securities. The illiquidity of these assets may make it difficult for us to sell such assets if the need or desire arises, including in response to changes in economic and other conditions.
 
Credit Risk

Although we expect relatively low credit risk with respect to our portfolio of Agency RMBS, our investment in MSRs exposes us to the credit risk of borrowers. To the extent we invest in non-Agency RMBS and prime mortgage loans, we expect to encounter credit risk related to these asset classes.

To date, our only investments in non-Agency RMBS have been credit risk transfer securities issued by Fannie Mae and Freddie Mac and have been classified within “RMBS, available-for-sale” on the consolidated balance sheet.
 
Item 4.
Controls and Procedures

Disclosure Controls and Procedures. The Company’s President and its Chief Financial Officer, have evaluated the effectiveness of the Company’s disclosure controls and procedures (as such term is defined in Rules 13a-15(e) and 15d -15(e) under the Securities Exchange Act of 1934, as amended (“Exchange Act”)) as of the end of the period covered by this report. The Company’s disclosure controls and procedures are designed to provide reasonable assurance that information is recorded, processed, summarized and reported accurately and on a timely basis. Based on such evaluation, the Company’s President and the Company’s Chief Financial Officer have concluded that, as of the end of such period, the Company’s disclosure controls and procedures are effective.

Changes in Internal Control Over Financial Reporting. There have been no changes in the Company’s internal control over financial reporting (as such term is defined in Rules 13a-15(f) and 15d-15(f) under the Exchange Act) during the most recently completed fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.
 
 
PART II. OTHER INFORMATION

Item 1.
Legal Proceedings

From time to time, the Company may be involved in various claims and legal actions in the ordinary course of business. As of June 30, 2017, the Company was not involved in any material legal proceedings.

Item 1A.
Risk Factors

None.

Item  2.
Unregistered Sales of Equity Securities and Use of Proceeds

None.

Item 3.
Defaults Upon Senior Securities

None.

Item 4.
Mine Safety Disclosures

Not Applicable.

Item 5.
Other Information

Not Applicable.
 
Item 6.
Exhibits
 
Exhibit
Number
 
Description
 
 
 
31.1*
 
Certification of Principal Executive Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
 
 
 
31.2*
 
Certification of Principal Financial Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
 
 
 
32.1*
 
Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
 
 
 
32.2*
 
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
 
 
 
101.INS*
 
XBRL Instance Document
 
 
 
101.SCH*
 
XBRL Taxonomy Extension Schema
 
 
 
101.CAL*
 
XBRL Taxonomy Extension Calculation Linkbase
 
 
 
101.DEF*
 
XBRL Taxonomy Definition Linkbase
 
 
 
101.LAB*
 
XBRL Taxonomy Extension Label Linkbase
 
 
 
101.PRE*
 
XBRL Taxonomy Extension Presentation Linkbase

*
Filed herewith.
 
SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Company has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 
CHERRY HILL MORTGAGE INVESTMENT CORPORATION
 
 
 
August 8, 2017
By:
/s/ Jeffrey Lown II
 
Jeffrey Lown II
 
President and Chief Executive Officer (Principal Executive Officer)
 
 
 
August 8, 2017
By:
/s/ Martin J. Levine
 
Martin J. Levine
 
Chief Financial Officer, Secretary and Treasurer (Principal Financial Officer)
 
CHERRY HILL MORTGAGE INVESTMENT CORPORATION
FORM 10-Q
June 30, 2017

INDEX OF EXHIBITS

Exhibit
Number
 
Description
 
 
 
 
 
 
 
Certification of Principal Executive Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
 
 
 
 
Certification of Principal Financial Officer pursuant to Rule 13a-14(a)/15d-14(a) of the Securities Exchange Act of 1934.
 
 
 
 
Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
 
 
 
 
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
 
 
 
101.INS*
 
XBRL Instance Document
 
 
 
101.SCH*
 
XBRL Taxonomy Extension Schema
 
 
 
101.CAL*
 
XBRL Taxonomy Extension Calculation Linkbase
 
 
 
101.DEF*
 
XBRL Taxonomy Definition Linkbase
 
 
 
101.LAB*
 
XBRL Taxonomy Extension Label Linkbase
 
 
 
101.PRE*
 
XBRL Taxonomy Extension Presentation Linkbase

*
Filed herewith.
 
 
72
 EX-31.1 2 ex31_1.htm EXHIBIT 31.1
Exhibit 31.1
 
Certification
I, Jeffrey Lown II, certify that:

1. I have reviewed this Form 10-Q of Cherry Hill Mortgage Investment Corporation;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a.
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d.
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a.
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b.
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 8, 2017

By:
/s/ Jeffrey Lown II
 
 
Jeffrey Lown II
 
 
President and Chief Executive Officer
 
 
(Principal Executive Officer)
 
 
 EX-31.2 3 ex31_2.htm EXHIBIT 31.2
Exhibit 31.2
 
Certification

I, Martin Levine, certify that:

1. I have reviewed this Form 10-Q of Cherry Hill Mortgage Investment Corporation;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a.
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d.
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a.
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b.
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 8, 2017

By:
/s/ Martin Levine
 
 
Martin Levine
 
 
Chief Financial Officer, Treasurer and Secretary (Principal Financial Officer)
 
 
 EX-32.1 4 ex32_1.htm EXHIBIT 32.1
Exhibit 32.1

CERTIFICATION PURSUANT TO SECTION 906
OF THE SARBANES-OXLEY ACT OF 2002, 18 U.S.C. SECTION 1350

This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United States Code) and accompanies the quarterly report on Form 10-Q (the “Form 10-Q”) for the quarter ended March 31, 2017 of Cherry Hill Mortgage Investment Corporation (the “Company”).

I, Jeffrey Lown II, the President and Chief Executive Officer (Principal Executive Officer) of the Company, certify that:

1. the Form 10-Q fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and

2. the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Company.

Dated: August 8, 2017

By:
/s/ Jeffrey Lown II
 
 
Jeffrey Lown II
 
 
President and Chief Executive Officer
 
 
(Principal Executive Officer)
 
 
 EX-32.2 5 ex32_2.htm EXHIBIT 32.2
Exhibit 32.2
 
CERTIFICATION PURSUANT TO SECTION 906
OF THE SARBANES-OXLEY ACT OF 2002, 18 U.S.C. SECTION 1350

This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of Section 1350, Chapter 63 of Title 18, United States Code) and accompanies the quarterly report on Form 10-Q (the “Form 10-Q”) for the quarter ended March 31, 2017 of Cherry Hill Mortgage Investment Corporation (the “Company”).

I, Martin Levine, the Chief Financial Officer, Secretary and Treasurer (Principal Financial Officer) of the Company, certify that:

1. the Form 10-Q fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and

2. the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Company.

Dated: August 8, 2017

By:
/s/ Martin Levine
 
 
Martin Levine
 
 
Chief Financial Officer, Secretary and Treasurer (Principal Financial Officer)
 
 
 EX-101.INS 6 chmi-20170630.xml XBRL INSTANCE DOCUMENT 0001571776 2017-01-01 2017-06-30 0001571776 2017-08-08 0001571776 2017-06-30 0001571776 2016-12-31 0001571776 2016-04-01 2016-06-30 0001571776 2017-04-01 2017-06-30 0001571776 2016-01-01 2016-06-30 0001571776 us-gaap:CommonStockMember 2015-12-31 0001571776 us-gaap:RetainedEarningsMember 2015-12-31 0001571776 us-gaap:AdditionalPaidInCapitalMember 2015-12-31 0001571776 us-gaap:NoncontrollingInterestMember 2015-12-31 0001571776 2015-12-31 0001571776 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2015-12-31 0001571776 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2016-01-01 2016-06-30 0001571776 us-gaap:NoncontrollingInterestMember 2017-01-01 2017-06-30 0001571776 us-gaap:RetainedEarningsMember 2016-01-01 2016-06-30 0001571776 us-gaap:NoncontrollingInterestMember 2016-01-01 2016-06-30 0001571776 us-gaap:CommonStockMember 2017-01-01 2017-06-30 0001571776 us-gaap:AdditionalPaidInCapitalMember 2017-01-01 2017-06-30 0001571776 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2017-01-01 2017-06-30 0001571776 us-gaap:RetainedEarningsMember 2017-01-01 2017-06-30 0001571776 us-gaap:AdditionalPaidInCapitalMember 2016-01-01 2016-06-30 0001571776 us-gaap:CommonStockMember 2016-01-01 2016-06-30 0001571776 us-gaap:RetainedEarningsMember 2016-12-31 0001571776 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2016-12-31 0001571776 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2017-06-30 0001571776 us-gaap:CommonStockMember 2016-12-31 0001571776 us-gaap:NoncontrollingInterestMember 2016-12-31 0001571776 us-gaap:AdditionalPaidInCapitalMember 2016-12-31 0001571776 us-gaap:RetainedEarningsMember 2017-06-30 0001571776 us-gaap:NoncontrollingInterestMember 2016-06-30 0001571776 us-gaap:CommonStockMember 2016-06-30 0001571776 us-gaap:RetainedEarningsMember 2016-06-30 0001571776 us-gaap:AdditionalPaidInCapitalMember 2017-06-30 0001571776 us-gaap:AccumulatedOtherComprehensiveIncomeMember 2016-06-30 0001571776 us-gaap:AdditionalPaidInCapitalMember 2016-06-30 0001571776 2016-06-30 0001571776 us-gaap:CommonStockMember 2017-06-30 0001571776 us-gaap:NoncontrollingInterestMember 2017-06-30 0001571776 2012-12-31 0001571776 2013-12-31 0001571776 2017-03-29 2017-03-29 0001571776 2017-03-29 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-03-31 0001571776 chmi:ReimbursableServicingAdvancesMember chmi:ReceivablesAndOtherAssetsMember 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:ReceivablesAndOtherAssetsMember 2017-06-30 0001571776 chmi:ReceivablesAndOtherAssetsMember chmi:ExcessMortgageServiceRightMember 2016-12-31 0001571776 chmi:ReceivablesAndOtherAssetsMember chmi:ReimbursableServicingAdvancesMember 2017-06-30 0001571776 chmi:ExcessMortgageServiceRightMember chmi:ReceivablesAndOtherAssetsMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:ReceivablesAndOtherAssetsMember 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-04-01 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-01-01 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-01-01 2017-06-30 0001571776 2016-01-01 2016-12-31 0001571776 us-gaap:DerivativeMember 2016-12-31 0001571776 us-gaap:RepurchaseAgreementsMember 2017-06-30 0001571776 us-gaap:RepurchaseAgreementsMember 2016-12-31 0001571776 us-gaap:DerivativeMember 2017-06-30 0001571776 chmi:TermLoanMember 2016-12-31 0001571776 chmi:TermLoanMember 2017-06-30 0001571776 us-gaap:OperatingSegmentsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-04-01 2017-06-30 0001571776 us-gaap:AllOtherSegmentsMember 2016-04-01 2016-06-30 0001571776 us-gaap:OperatingSegmentsMember chmi:ServicingRelatedAssetsMember 2017-04-01 2017-06-30 0001571776 chmi:ServicingRelatedAssetsMember us-gaap:OperatingSegmentsMember 2017-01-01 2017-06-30 0001571776 us-gaap:AllOtherSegmentsMember 2017-04-01 2017-06-30 0001571776 us-gaap:AllOtherSegmentsMember 2017-01-01 2017-06-30 0001571776 chmi:ServicingRelatedAssetsMember us-gaap:OperatingSegmentsMember 2016-01-01 2016-06-30 0001571776 us-gaap:OperatingSegmentsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-01-01 2016-06-30 0001571776 chmi:ServicingRelatedAssetsMember us-gaap:OperatingSegmentsMember 2016-04-01 2016-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:OperatingSegmentsMember 2017-01-01 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:OperatingSegmentsMember 2016-04-01 2016-06-30 0001571776 us-gaap:AllOtherSegmentsMember 2016-01-01 2016-06-30 0001571776 us-gaap:OperatingSegmentsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:AllOtherSegmentsMember 2016-12-31 0001571776 us-gaap:OperatingSegmentsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 chmi:ServicingRelatedAssetsMember us-gaap:OperatingSegmentsMember 2016-12-31 0001571776 us-gaap:OperatingSegmentsMember chmi:ServicingRelatedAssetsMember 2017-06-30 0001571776 us-gaap:AllOtherSegmentsMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:CollateralizedMortgageObligationsMember 2017-06-30 0001571776 chmi:FannieMaeMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:FreddieMacMember 2016-12-31 0001571776 us-gaap:CollateralizedMortgageObligationsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:FreddieMacMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 chmi:FannieMaeMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 chmi:FreddieMacMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-01-01 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:FreddieMacMember 2016-01-01 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:CollateralizedMortgageObligationsMember 2016-01-01 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:FannieMaeMember 2017-01-01 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:FannieMaeMember 2016-01-01 2016-12-31 0001571776 us-gaap:CollateralizedMortgageObligationsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-01-01 2017-06-30 0001571776 chmi:AssetsByMaturityAfterFiveYearsThroughTenYearsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 chmi:AssetsByMaturityAfterTenYearsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:AssetsByMaturityAfterFiveYearsThroughTenYearsMember 2017-06-30 0001571776 chmi:AssetsByMaturityAfterTenYearsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 chmi:AssetsByMaturityAfterFiveYearsThroughTenYearsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-01-01 2017-06-30 0001571776 chmi:AssetsByMaturityAfterTenYearsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-01-01 2017-06-30 0001571776 chmi:AssetsByMaturityAfterFiveYearsThroughTenYearsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-01-01 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:AssetsByMaturityAfterTenYearsMember 2016-01-01 2016-12-31 0001571776 chmi:UnrealizedLossesOfSecuritiesLessThanTwelveMonthsMember us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossPositionsMember 2016-12-31 0001571776 chmi:UnrealizedLossesOfSecuritiesLessThanTwelveMonthsMember chmi:UnrealizedLossPositionsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossPositionsMember 2017-06-30 0001571776 chmi:UnrealizedLossPositionsMember us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossesOfSecuritiesTwelveMonthsOrMoreMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossPositionsMember 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossesOfSecuritiesTwelveMonthsOrMoreMember chmi:UnrealizedLossPositionsMember 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossPositionsMember chmi:UnrealizedLossesOfSecuritiesTwelveMonthsOrMoreMember 2017-01-01 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossPositionsMember 2017-01-01 2017-06-30 0001571776 chmi:UnrealizedLossPositionsMember chmi:UnrealizedLossesOfSecuritiesLessThanTwelveMonthsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-01-01 2016-12-31 0001571776 chmi:UnrealizedLossPositionsMember us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossesOfSecuritiesLessThanTwelveMonthsMember 2017-01-01 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossPositionsMember 2016-01-01 2016-12-31 0001571776 chmi:UnrealizedLossesOfSecuritiesTwelveMonthsOrMoreMember us-gaap:ResidentialMortgageBackedSecuritiesMember chmi:UnrealizedLossPositionsMember 2016-01-01 2016-12-31 0001571776 chmi:ExcessMsrPoolOneMember 2013-10-31 0001571776 chmi:ExcessMsrPoolTwoMember 2013-10-31 0001571776 chmi:AuroraFinancialGroupIncMember chmi:MortgageServiceRightMember 2017-06-30 0001571776 chmi:AuroraFinancialGroupIncMember chmi:ExcessMsrPoolOneMember 2017-01-01 2017-06-30 0001571776 chmi:AuroraFinancialGroupIncMember chmi:ExcessMsrPoolTwoMember 2017-01-01 2017-06-30 0001571776 chmi:AuroraFinancialGroupIncMember 2015-05-29 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2014-02-28 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2014-06-30 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2014-03-31 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2014-03-31 2014-03-31 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2014-02-28 2014-02-28 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2014-06-30 2014-06-30 0001571776 chmi:AuroraFinancialGroupIncMember chmi:MortgageServiceRightMember 2017-01-01 2017-06-30 0001571776 chmi:MortgageServiceRightGovernmentMember 2017-06-30 0001571776 chmi:ExcessMsrPoolTwoMember 2016-12-31 0001571776 chmi:MortgageServiceRightConventionalMember 2016-12-31 0001571776 chmi:MortgageServiceRightConventionalMember 2017-06-30 0001571776 chmi:ExcessMSRPoolTwoRecaptureAgreementMember 2016-12-31 0001571776 chmi:MortgageServiceRightGovernmentMember 2017-01-01 2017-06-30 0001571776 chmi:MortgageServiceRightConventionalMember 2017-01-01 2017-06-30 0001571776 chmi:ExcessMsrPoolTwoMember 2016-01-01 2016-12-31 0001571776 chmi:ExcessMSRPoolTwoRecaptureAgreementMember 2016-01-01 2016-12-31 0001571776 chmi:MortgageServiceRightConventionalMember 2016-01-01 2016-12-31 0001571776 chmi:AllOtherStatesMember 2016-12-31 0001571776 stpr:NC 2016-12-31 0001571776 stpr:FL 2016-12-31 0001571776 stpr:TX 2017-06-30 0001571776 stpr:NJ 2016-12-31 0001571776 stpr:FL 2017-06-30 0001571776 stpr:CA 2016-12-31 0001571776 chmi:AllOtherStatesMember 2017-06-30 0001571776 stpr:CO 2016-12-31 0001571776 stpr:WA 2016-12-31 0001571776 stpr:GA 2016-12-31 0001571776 stpr:VA 2016-12-31 0001571776 stpr:UT 2017-06-30 0001571776 stpr:TX 2016-12-31 0001571776 stpr:CA 2017-06-30 0001571776 stpr:NJ 2017-06-30 0001571776 chmi:LongTermIncentivePlanUnitsMember 2016-12-31 0001571776 chmi:LongTermIncentivePlanUnitsMember 2017-04-01 2017-06-30 0001571776 chmi:LongTermIncentivePlanUnitsMember 2017-01-01 2017-03-31 0001571776 chmi:LongTermIncentivePlanUnitsMember 2017-03-31 0001571776 chmi:LongTermIncentivePlanUnitsMember 2017-06-30 0001571776 us-gaap:CommonStockMember 2016-12-31 0001571776 us-gaap:CommonStockMember 2017-04-01 2017-06-30 0001571776 us-gaap:CommonStockMember 2017-01-01 2017-03-31 0001571776 us-gaap:CommonStockMember 2017-06-30 0001571776 us-gaap:CommonStockMember 2017-03-31 0001571776 2017-01-01 2017-03-31 0001571776 2017-03-31 0001571776 chmi:TwoThousandThirteenPlanMember 2017-01-01 2017-06-30 0001571776 chmi:TwoThousandThirteenPlanMember chmi:RestrictedCommonStockMember chmi:June142017Member 2017-06-14 2017-06-14 0001571776 chmi:TwoThousandThirteenPlanMember chmi:RestrictedCommonStockMember chmi:January272014Member 2014-01-27 2014-01-27 0001571776 chmi:TwoThousandThirteenPlanMember chmi:January272014Member us-gaap:CommonStockMember 2014-01-27 2014-01-27 0001571776 chmi:RestrictedCommonStockMember chmi:TwoThousandThirteenPlanMember chmi:June152016Member 2016-06-15 2016-06-15 0001571776 chmi:September92015Member chmi:TwoThousandThirteenPlanMember chmi:RestrictedCommonStockMember 2015-09-09 2015-09-09 0001571776 chmi:TwoThousandThirteenPlanMember us-gaap:DirectorMember chmi:January272014Member us-gaap:CommonStockMember 2014-01-27 2014-01-27 0001571776 chmi:TwoThousandThirteenPlanMember chmi:RestrictedCommonStockMember us-gaap:DirectorMember chmi:June152016Member 2016-06-15 2016-06-15 0001571776 chmi:RestrictedCommonStockMember us-gaap:DirectorMember chmi:January272014Member chmi:TwoThousandThirteenPlanMember 2014-01-27 2014-01-27 0001571776 chmi:September92015Member chmi:RestrictedCommonStockMember us-gaap:DirectorMember chmi:TwoThousandThirteenPlanMember 2015-09-09 2015-09-09 0001571776 chmi:TwoThousandThirteenPlanMember chmi:June142017Member chmi:RestrictedCommonStockMember us-gaap:DirectorMember 2017-06-14 2017-06-14 0001571776 chmi:LongTermIncentivePlanUnitsMember 2017-01-01 2017-06-30 0001571776 chmi:LongTermIncentivePlanUnitsMember 2016-01-01 2016-06-30 0001571776 chmi:LongTermIncentivePlanUnitsMember 2016-04-01 2016-06-30 0001571776 chmi:LongTermIncentivePlanUnitsMember us-gaap:MaximumMember 2017-01-01 2017-06-30 0001571776 chmi:June152016Member chmi:RestrictedCommonStockMember chmi:TwoThousandThirteenPlanMember 2017-01-01 2017-06-30 0001571776 chmi:September92015Member chmi:RestrictedCommonStockMember chmi:TwoThousandThirteenPlanMember 2017-01-01 2017-06-30 0001571776 chmi:TwoThousandThirteenPlanMember chmi:January272014Member chmi:RestrictedCommonStockMember 2017-01-01 2017-06-30 0001571776 chmi:June142017Member chmi:RestrictedCommonStockMember chmi:TwoThousandThirteenPlanMember 2017-01-01 2017-06-30 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2017-01-01 2017-06-30 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2017-04-01 2017-06-30 0001571776 2016-11-15 2016-11-15 0001571776 chmi:FreedomMortgageExcessServiceRightMember chmi:NexBankTermLoanMember 2016-11-15 2016-11-15 0001571776 chmi:FreedomMortgageExcessServiceRightMember chmi:NexBankTermLoanMember 2016-11-15 0001571776 chmi:FreedomMortgageExcessServiceRightMember 2017-06-30 0001571776 chmi:GinnieMaeMortgageServicingRightsMember chmi:AuroraFinancialGroupIncMember 2017-01-31 0001571776 us-gaap:InterestRateSwapMember 2016-12-31 0001571776 us-gaap:NondesignatedMember 2017-06-30 0001571776 us-gaap:NondesignatedMember us-gaap:InterestRateSwaptionMember 2017-06-30 0001571776 us-gaap:InterestRateSwapMember 2017-06-30 0001571776 us-gaap:NondesignatedMember chmi:TbaMember us-gaap:ShortMember 2017-06-30 0001571776 us-gaap:SingleStockFutureMember us-gaap:NondesignatedMember 2017-06-30 0001571776 us-gaap:NondesignatedMember 2016-12-31 0001571776 us-gaap:NondesignatedMember us-gaap:FutureMember 2016-12-31 0001571776 us-gaap:ShortMember us-gaap:NondesignatedMember chmi:TbaMember 2016-12-31 0001571776 us-gaap:SingleStockFutureMember us-gaap:NondesignatedMember 2016-12-31 0001571776 us-gaap:InterestRateSwaptionMember 2017-06-30 0001571776 us-gaap:NondesignatedMember us-gaap:InterestRateSwapMember 2016-12-31 0001571776 us-gaap:NondesignatedMember us-gaap:InterestRateSwapMember 2017-06-30 0001571776 us-gaap:InterestRateSwaptionMember 2016-12-31 0001571776 us-gaap:NondesignatedMember us-gaap:InterestRateSwaptionMember 2016-12-31 0001571776 us-gaap:FutureMember us-gaap:NondesignatedMember 2017-06-30 0001571776 us-gaap:InterestRateSwaptionMember 2016-01-01 2016-12-31 0001571776 us-gaap:InterestRateSwaptionMember 2017-01-01 2017-06-30 0001571776 us-gaap:InterestRateSwapMember 2016-01-01 2016-12-31 0001571776 us-gaap:InterestRateSwapMember 2017-01-01 2017-06-30 0001571776 chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:NondesignatedMember us-gaap:InterestRateSwapMember 2016-04-01 2016-06-30 0001571776 us-gaap:NondesignatedMember 2017-01-01 2017-06-30 0001571776 us-gaap:NondesignatedMember 2016-01-01 2016-06-30 0001571776 chmi:GainLossOnDerivativeInstrumentsNetMember chmi:TbaMember us-gaap:NondesignatedMember 2016-04-01 2016-06-30 0001571776 us-gaap:NondesignatedMember 2016-04-01 2016-06-30 0001571776 chmi:GainLossOnDerivativeInstrumentsNetMember chmi:TbaMember us-gaap:NondesignatedMember 2016-01-01 2016-06-30 0001571776 us-gaap:NondesignatedMember us-gaap:InterestRateSwaptionMember chmi:GainLossOnDerivativeInstrumentsNetMember 2016-04-01 2016-06-30 0001571776 chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:FutureMember us-gaap:NondesignatedMember 2017-04-01 2017-06-30 0001571776 chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:NondesignatedMember us-gaap:FutureMember 2017-01-01 2017-06-30 0001571776 us-gaap:NondesignatedMember chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:InterestRateSwapMember 2017-01-01 2017-06-30 0001571776 chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:InterestRateSwapMember us-gaap:NondesignatedMember 2017-04-01 2017-06-30 0001571776 us-gaap:NondesignatedMember us-gaap:FutureMember chmi:GainLossOnDerivativeInstrumentsNetMember 2016-04-01 2016-06-30 0001571776 us-gaap:NondesignatedMember 2017-04-01 2017-06-30 0001571776 chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:InterestRateSwapMember us-gaap:NondesignatedMember 2016-01-01 2016-06-30 0001571776 chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:NondesignatedMember us-gaap:InterestRateSwaptionMember 2016-01-01 2016-06-30 0001571776 us-gaap:InterestRateSwaptionMember chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:NondesignatedMember 2017-01-01 2017-06-30 0001571776 us-gaap:InterestRateSwaptionMember chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:NondesignatedMember 2017-04-01 2017-06-30 0001571776 us-gaap:FutureMember chmi:GainLossOnDerivativeInstrumentsNetMember us-gaap:NondesignatedMember 2016-01-01 2016-06-30 0001571776 us-gaap:NondesignatedMember chmi:TbaMember chmi:GainLossOnDerivativeInstrumentsNetMember 2017-01-01 2017-06-30 0001571776 us-gaap:NondesignatedMember chmi:GainLossOnDerivativeInstrumentsNetMember chmi:TbaMember 2017-04-01 2017-06-30 0001571776 chmi:TbaMember 2017-06-30 0001571776 us-gaap:FutureMember 2017-06-30 0001571776 us-gaap:FutureMember 2016-12-31 0001571776 chmi:TbaMember 2016-12-31 0001571776 us-gaap:FairValueInputsLevel2Member us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 chmi:MortgageServicingRightsMember us-gaap:FairValueInputsLevel3Member 2017-06-30 0001571776 us-gaap:FairValueInputsLevel3Member chmi:ExcessMortgageServicingRightsMember 2016-12-31 0001571776 us-gaap:FairValueInputsLevel3Member chmi:MortgageServicingRightsMember 2016-12-31 0001571776 us-gaap:DerivativeMember us-gaap:FairValueInputsLevel2Member 2016-12-31 0001571776 us-gaap:DerivativeMember us-gaap:FairValueInputsLevel2Member 2017-06-30 0001571776 us-gaap:FairValueInputsLevel3Member chmi:ExcessMortgageServicingRightsMember 2017-06-30 0001571776 us-gaap:FairValueInputsLevel2Member us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 us-gaap:FairValueInputsLevel1Member us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueInputsLevel2Member us-gaap:CollateralizedMortgageObligationsMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel2Member us-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:CarryingReportedAmountFairValueDisclosureMember 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:CollateralizedMortgageObligationsMember us-gaap:FairValueInputsLevel2Member us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:CollateralizedMortgageObligationsMember us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:FairValueInputsLevel1Member us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember us-gaap:FairValueInputsLevel3Member 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:CollateralizedMortgageObligationsMember 2017-06-30 0001571776 us-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel1Member us-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:FairValueInputsLevel2Member us-gaap:FairValueMeasurementsRecurringMember us-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 us-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueInputsLevel2Member 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:FairValueMeasurementsRecurringMember 2017-06-30 0001571776 us-gaap:FairValueInputsLevel2Member us-gaap:FairValueMeasurementsRecurringMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueInputsLevel3Member 2016-12-31 0001571776 us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember us-gaap:CollateralizedMortgageObligationsMember us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member us-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:CollateralizedMortgageObligationsMember 2017-06-30 0001571776 us-gaap:CollateralizedMortgageObligationsMember us-gaap:FairValueInputsLevel3Member us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueInputsLevel2Member 2016-12-31 0001571776 us-gaap:CollateralizedMortgageObligationsMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:CarryingReportedAmountFairValueDisclosureMember 2016-12-31 0001571776 us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:FairValueMeasurementsRecurringMember 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel1Member us-gaap:ResidentialMortgageBackedSecuritiesMember 2017-06-30 0001571776 us-gaap:FederalHomeLoanMortgageCorporationCertificatesAndObligationsFHLMCMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member us-gaap:ResidentialMortgageBackedSecuritiesMember 2016-12-31 0001571776 us-gaap:FederalNationalMortgageAssociationCertificatesAndObligationsFNMAMember us-gaap:FairValueInputsLevel2Member us-gaap:ResidentialMortgageBackedSecuritiesMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwapMember us-gaap:FairValueInputsLevel3Member 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwaptionMember us-gaap:FairValueInputsLevel3Member 2017-06-30 0001571776 us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:InterestRateSwaptionMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:InterestRateSwaptionMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel2Member 2017-06-30 0001571776 us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwapMember 2017-06-30 0001571776 us-gaap:FairValueInputsLevel2Member us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:InterestRateSwapMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2017-06-30 0001571776 us-gaap:FairValueInputsLevel2Member chmi:TbaMember us-gaap:FairValueMeasurementsRecurringMember 2017-06-30 0001571776 us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:InterestRateSwapMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel2Member 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwaptionMember us-gaap:FairValueInputsLevel1Member 2016-12-31 0001571776 us-gaap:FairValueInputsLevel2Member us-gaap:FairValueMeasurementsRecurringMember 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwaptionMember us-gaap:CarryingReportedAmountFairValueDisclosureMember 2017-06-30 0001571776 chmi:TbaMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2017-06-30 0001571776 us-gaap:FairValueInputsLevel2Member us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwaptionMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:CarryingReportedAmountFairValueDisclosureMember chmi:TbaMember 2017-06-30 0001571776 us-gaap:FairValueInputsLevel3Member us-gaap:FairValueMeasurementsRecurringMember 2017-06-30 0001571776 us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember 2017-06-30 0001571776 us-gaap:FairValueInputsLevel3Member us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 chmi:TbaMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel1Member 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwaptionMember us-gaap:FairValueInputsLevel1Member 2017-06-30 0001571776 us-gaap:FairValueInputsLevel3Member us-gaap:InterestRateSwaptionMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwapMember us-gaap:CarryingReportedAmountFairValueDisclosureMember 2017-06-30 0001571776 us-gaap:InterestRateSwapMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:CarryingReportedAmountFairValueDisclosureMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel1Member us-gaap:InterestRateSwapMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:InterestRateSwapMember us-gaap:FairValueInputsLevel2Member 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:CarryingReportedAmountFairValueDisclosureMember 2017-06-30 0001571776 chmi:TbaMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FutureMember us-gaap:CarryingReportedAmountFairValueDisclosureMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember chmi:TbaMember us-gaap:FairValueInputsLevel1Member 2016-12-31 0001571776 us-gaap:FairValueInputsLevel1Member us-gaap:FutureMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember chmi:TbaMember us-gaap:FairValueInputsLevel2Member 2016-12-31 0001571776 chmi:TbaMember us-gaap:CarryingReportedAmountFairValueDisclosureMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FairValueInputsLevel3Member us-gaap:FutureMember us-gaap:FairValueMeasurementsRecurringMember 2016-12-31 0001571776 us-gaap:FutureMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel2Member 2016-12-31 0001571776 chmi:MortgageServiceRightMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2016-12-31 0001571776 us-gaap:FairValueInputsLevel3Member chmi:MortgageServiceRightMember us-gaap:FairValueMeasurementsRecurringMember 2015-12-31 0001571776 chmi:ServicingRelatedAssetsPoolOneMember us-gaap:FairValueInputsLevel3Member us-gaap:FairValueMeasurementsRecurringMember 2015-12-31 0001571776 chmi:ServicingRelatedAssetsPoolTwoMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2015-12-31 0001571776 chmi:ServicingRelatedAssetsPoolTwoMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2015-12-31 0001571776 us-gaap:FairValueInputsLevel3Member chmi:ServicingRelatedAssetsPoolTwoThousandAndFourteenMember us-gaap:FairValueMeasurementsRecurringMember 2015-12-31 0001571776 chmi:ServicingRelatedAssetsPoolTwoMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2016-01-01 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2016-01-01 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member chmi:ServicingRelatedAssetsPoolOneMember 2016-01-01 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember chmi:ServicingRelatedAssetsPoolTwoThousandAndFourteenMember us-gaap:FairValueInputsLevel3Member 2016-01-01 2016-12-31 0001571776 chmi:ServicingRelatedAssetsPoolTwoMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2017-01-01 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember chmi:MortgageServiceRightMember us-gaap:FairValueInputsLevel3Member 2017-01-01 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member chmi:MortgageServiceRightMember 2016-01-01 2016-12-31 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2017-01-01 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member chmi:MortgageServiceRightMember 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember chmi:ServicingRelatedAssetsPoolTwoMember us-gaap:FairValueInputsLevel3Member 2017-06-30 0001571776 us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member chmi:ServicingRelatedAssetsPoolTwoThousandAndFourteenMember 2016-12-31 0001571776 chmi:ServicingRelatedAssetsPoolOneMember us-gaap:FairValueMeasurementsRecurringMember us-gaap:FairValueInputsLevel3Member 2016-12-31 0001571776 us-gaap:FairValueInputsLevel3Member chmi:DiscountedCashFlowMember chmi:ServicingRelatedAssetsPoolTwoMember 2016-12-31 0001571776 chmi:DiscountedCashFlowMember us-gaap:FairValueInputsLevel3Member 2017-06-30 0001571776 chmi:DiscountedCashFlowMember chmi:ConventionalMortgageExcessServiceRightMember us-gaap:FairValueInputsLevel3Member 2016-12-31 0001571776 us-gaap:FairValueInputsLevel3Member chmi:MortgageServiceRightGovernmentMember chmi:DiscountedCashFlowMember 2017-06-30 0001571776 chmi:ConventionalMortgageExcessServiceRightMember chmi:DiscountedCashFlowMember us-gaap:FairValueInputsLevel3Member 2017-06-30 0001571776 us-gaap:FairValueInputsLevel3Member chmi:DiscountedCashFlowMember 2016-12-31 0001571776 chmi:MortgageServiceRightGovernmentMember us-gaap:FairValueInputsLevel3Member chmi:DiscountedCashFlowMember us-gaap:WeightedAverageMember 2017-01-01 2017-06-30 0001571776 chmi:ServicingRelatedAssetsPoolTwoMember us-gaap:MinimumMember chmi:DiscountedCashFlowMember us-gaap:FairValueInputsLevel3Member 2016-01-01 2016-12-31 0001571776 us-gaap:FairValueInputsLevel3Member chmi:DiscountedCashFlowMember us-gaap:WeightedAverageMember chmi:ServicingRelatedAssetsPoolTwoMember 2016-01-01 2016-12-31 0001571776 us-gaap:FairValueInputsLevel3Member chmi:ConventionalMortgageExcessServiceRightMember us-gaap:MaximumMember chmi:DiscountedCashFlowMember 2017-01-01 2017-06-30 0001571776 chmi:DiscountedCashFlowMember us-gaap:MinimumMember chmi:ConventionalMortgageExcessServiceRightMember us-gaap:FairValueInputsLevel3Member 2016-01-01 2016-12-31 0001571776 chmi:DiscountedCashFlowMember us-gaap:WeightedAverageMember us-gaap:FairValueInputsLevel3Member chmi:ConventionalMortgageExcessServiceRightMember 2016-01-01 2016-12-31 0001571776 us-gaap:MinimumMember chmi:MortgageServiceRightGovernmentMember chmi:DiscountedCashFlowMember us-gaap:FairValueInputsLevel3Member 2017-01-01 2017-06-30 0001571776 chmi:DiscountedCashFlowMember chmi:MortgageServiceRightGovernmentMember us-gaap:MaximumMember us-gaap:FairValueInputsLevel3Member 2017-01-01 2017-06-30 0001571776 chmi:ConventionalMortgageExcessServiceRightMember chmi:DiscountedCashFlowMember us-gaap:FairValueInputsLevel3Member us-gaap:MaximumMember 2016-01-01 2016-12-31 0001571776 chmi:ServicingRelatedAssetsPoolTwoMember chmi:DiscountedCashFlowMember us-gaap:FairValueInputsLevel3Member us-gaap:MaximumMember 2016-01-01 2016-12-31 0001571776 us-gaap:MinimumMember chmi:ConventionalMortgageExcessServiceRightMember chmi:DiscountedCashFlowMember us-gaap:FairValueInputsLevel3Member 2017-01-01 2017-06-30 0001571776 us-gaap:FairValueInputsLevel3Member us-gaap:WeightedAverageMember chmi:ConventionalMortgageExcessServiceRightMember chmi:DiscountedCashFlowMember 2017-01-01 2017-06-30 0001571776 chmi:ConventionalMortgageExcessServiceRightMember us-gaap:FairValueInputsLevel3Member chmi:DiscountedCashFlowMember 2017-01-01 2017-06-30 0001571776 chmi:DiscountedCashFlowMember us-gaap:FairValueInputsLevel3Member chmi:MortgageServiceRightGovernmentMember 2017-01-01 2017-06-30 0001571776 us-gaap:FairValueInputsLevel3Member chmi:ConventionalMortgageExcessServiceRightMember chmi:DiscountedCashFlowMember 2016-01-01 2016-12-31 0001571776 chmi:MsrFacilityMember 2016-09-30 0001571776 chmi:MsrTermLoanFacilityMember 2017-05-31 0001571776 us-gaap:SecuredDebtMember chmi:TermLoanMember 2016-12-31 0001571776 chmi:MsrFacilityMember 2017-01-01 2017-06-30 0001571776 chmi:MsrTermLoanFacilityMember 2017-01-01 2017-06-30 0001571776 chmi:MsrFacilityMember 2017-06-30 0001571776 chmi:MsrFacilityMember 2016-12-31 0001571776 chmi:MsrTermLoanFacilityMember 2017-06-30 0001571776 chmi:TermLoanMember 2016-12-31 xbrli:shares iso4217:USD iso4217:USD xbrli:shares chmi:Loan chmi:Security xbrli:pure chmi:Portfolio false --12-31 2017-06-30 No No Yes Accelerated Filer Cherry Hill Mortgage Investment Corporation 0001571776 12708547 2017 Q2 10-Q 415850000 864650000 100000000 781650000 17000000 0 549850000 50000000 6000000 20000000 100000000 415850000 781650000 70000000 70000000 0 14872000 6202000 14872000 6202000 1628000 3335000 -1851000 -3268000 5762000 7162000 1400000 4300000 5600000 2400000 1300000 2000000 -6393000 1166000 229345000 148457000 281000 282000 135000 146000 0 0 0 0 1522627000 792878000 80223000 18390000 1408957000 704399000 70089000 33447000 0 1385540000 742288000 0 61263000 74455000 681025000 1459995000 29392000 74455000 31871000 42964000 31491000 61263000 1378434000 671904000 1378434000 24864000 671904000 885201000 448937000 198103000 425256000 67977000 16841000 1361717000 655063000 16717000 466767000 555275000 564873000 9598000 466767000 0 587000 8697000 2961000 1418000 2951000 4328000 857000 1517000 185000 8414000 283000 2776000 9362000 5308000 2201000 0 2691000 7509000 6592000 79000 8908000 262000 454000 7247000 9362000 323000 7510000 7187000 9362000 0 426039000 1377246000 678305000 200207000 63649000 454012000 887558000 24086000 661195000 1360550000 17110000 16696000 572383000 476129000 562462000 476129000 9921000 0 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables summarize the Company&#8217;s securities in an unrealized loss position as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">RMBS Unrealized Loss Positions</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 12%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 12%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Duration in Loss </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Position</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unrealized</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 6%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Less than Twelve Months</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">583,304</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">562,462</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,187</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">555,275</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">77</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.69</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.48</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Twelve or More Months</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,825</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,921</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(323</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,598</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.50</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.29</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">29</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">593,129</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">572,383</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(7,510</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">564,873</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">78</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.69</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.48</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div style="clear: both;"><br /></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 12%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 12%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Duration in Loss </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Position</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unrealized </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 6%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Less than Twelve Months</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">494,847</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">476,129</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(9,362</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">466,767</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.65</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.40</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Twelve or More Months</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 6%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">494,847</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">476,129</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(9,362</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">466,767</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.65</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.40</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="clear: both;"><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(D)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, the Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity.</div></td></tr></table></div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 2 &#8212; Basis of Presentation and Significant Accounting Policies</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Basis of Accounting</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (&#8220;GAAP&#8221;) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Emerging Growth Company Status</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On April 5, 2012, the Jumpstart Our Business Startups Act (the &#8220;JOBS Act&#8221;) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an &#8220;emerging growth company,&#8221; it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an &#8220;emerging growth company&#8221; or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated interim financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an &#8220;emerging growth company&#8221; or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated interim financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Use of Estimates</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of: the fair value of Excess MSRs and MSRs (collectively, &#8220;Servicing Related Assets&#8221;); RMBS and derivatives; credit losses, including the period of time during which the Company anticipates an increase in the fair values of RMBS sufficient to recover unrealized losses on those RMBS; and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the interim consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company&#8217;s estimates are inherently subjective in nature. Actual results could differ from the Company&#8217;s estimates, and the differences may be material.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Risks and Uncertainties</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company&#8217;s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower&#8217;s or derivative counterparty&#8217;s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company&#8217;s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Investments in RMBS</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Classification</u></font> &#8211; The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income (loss), to the extent impairment losses, if any, are considered temporary. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described below.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Fair value is determined under the guidance of Accounting Standards Codification (&#8220;ASC&#8221;) 820, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Fair Value Measurements and Disclosures</font> (&#8220;ASC 820&#8221;). The Company determines fair value of its RMBS investments based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. Management&#8217;s judgment is used to arrive at the fair values of RMBS taking into account prices obtained from third-party pricing providers and other applicable market data. The Company&#8217;s application of ASC 820 guidance is discussed in further detail in Note 9.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. Approximately <font style="background-color: #ffffff;"><font style="font-size: 10pt; font-family: 'Times New Roman';">$14.9 </font></font>million in Agency RMBS purchased, but not yet settled, was payable at June 30, 2017. Approximately $6.2 million in Agency RMBS purchased, but not yet settled, was payable at December 31, 2016. All RMBS sold in the year ended December 31, 2016 were settled prior to year-end.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font><font style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;"> &#8211;</font> Interest income from coupon payments is accrued based on the outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are accreted into interest income over the projected lives of the securities using the effective interest method. The Company&#8217;s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus on prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately<font style="background-color: #ffffff;"><font style="font-size: 10pt; font-family: 'Times New Roman';">$4.3</font></font> million and $2.0 million in interest income was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within &#8220;Receivables and other assets&#8221; on the consolidated balance sheets. For further discussion on Receivables and other assets, see Note 13.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Impairment</u></font><font style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;"> &#8211;</font> The Company evaluates its RMBS, on a quarterly basis, to assess whether a decline in the fair value below the amortized cost basis is an other-than-temporary impairment (&#8220;OTTI&#8221;). The presence of OTTI is based upon a fair value decline below a security&#8217;s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if the Company (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security&#8217;s amortized cost basis, even if the Company does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment is recognized currently in earnings and the cost basis of the security is adjusted. However, if the Company does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the OTTI is separated into (i) the estimated amount relating to credit loss, or the credit component, and (ii) the amount relating to all other factors, or the non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted into interest income in accordance with the effective interest method. The Company recorded approximately <font style="background-color: #ffffff;"><font style="font-size: 10pt; font-family: 'Times New Roman';">$77,000 </font></font>of OTTI charges during the three month and six month periods ended June 30, 2017. OTTI recorded during the year ended December 31, 2016 was approximately $173,000. OTTI has been classified within &#8220;Realized gain (loss) on RMBS, net&#8221; on the consolidated statements of income.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Investments in Excess MSRs</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As a result of the Company&#8217;s sale of its remaining Excess MSRs in February 2017, there were no Excess MSRs at June 30, 2017.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Classification</u></font> &#8211; The Company had elected the fair value option to record its investments in Excess MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, the Company recorded a valuation adjustment on its investments in Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. In determining the valuation of Excess MSRs in accordance with ASC 820, management used internally developed models that were primarily based on observable market-based inputs but which also included unobservable market data inputs. The Company&#8217;s application of ASC 820 guidance is discussed in further detail in Note 9.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font> &#8211; Excess MSRs were aggregated into pools as applicable. Each pool of Excess MSRs was accounted for in the aggregate. Interest income for Excess MSRs was accreted into interest income on an effective yield or &#8220;interest&#8221; method, based upon the expected excess mortgage servicing amount over the expected life of the underlying mortgages. Changes to expected cash flows resulted in a cumulative retrospective adjustment, which were recorded in the period in which the change in expected cash flows occurred. Under the retrospective method, the interest income recognized for a reporting period is measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis was calculated as the present value of estimated future cash flows using an effective yield, which was the yield that equated all past actual and estimated future cash flows to the initial investment. The difference between the fair value of Excess MSRs and their amortized cost basis was recorded on the consolidated statements of income statement as &#8220;Unrealized gain (loss) on investments in Excess MSRs.&#8221; Fair value was generally determined by discounting the expected future cash flows using discount rates that incorporated the market risks and liquidity premium specific to the Excess MSRs and, therefore, may have differed from their effective yields. The sale of investments in Excess MSRs was recognized upon settlement date. Approximately <font style="background-color: #ffffff;"><font style="font-size: 10pt; font-family: 'Times New Roman';">$1.3 </font></font>million and $5.6 million in Excess MSR cash flow was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within &#8220;Receivables and other assets&#8221; on the consolidated balance sheets.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In connection with the sale of its Excess MSRs, the Company elected a settlement date accounting policy to account for the gain on sale from that transaction. For a further discussion of the Company&#8217;s sale of its Excess MSRs, see Note 7.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Investments in MSRs</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Classification</u></font> &#8211; The Company&#8217;s MSRs represent the contractual right to service mortgage loans. The Company has elected the fair value option to record its investments in MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs as well as servicing fee income and servicing expenses are reported on the consolidated statements of income. In determining the valuation of MSRs in accordance with ASC 820, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs. The Company&#8217;s application of ASC 820 guidance is discussed in further detail in Note 9. For reporting purposes, conventional conforming loans are aggregated into one category.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font><font style="font-size: 10pt; font-family: 'Times New Roman';"> &#8211; Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the &#8220;Receivables and other assets&#8221; line item on the consolidated balance sheets. </font>Approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">2.4</font> million and $1.4 million in reimbursable servicing advances were receivable at June 30, 2017 and December 31, 2016, respectively, and have been classified within &#8220;Receivables and other assets&#8221; on the consolidated balance sheets. Although advances on Federal National Mortgage Association (&#8220;Fannie Mae&#8221;) and Federal Home Loan Mortgage Corporation (&#8220;Freddie Mac&#8221;) MSRs made in accordance with the relevant guidelines are generally recoverable, the recoverability of similar advances made on Government National Mortgage Association (&#8220;Ginnie Mae&#8221;) MSRs may be limited under the rules and regulations of the U.S. Department of Housing and Urban Development, the Department of Veterans Affairs (the &#8220;VA&#8221;) and the Federal Housing Administration (&#8220;FHA&#8221;). Because the Ginnie Mae MSRs were only acquired in February 2017, and advances on the Fannie Mae and Freddie Mac MSRs are expected to be recoverable, the Company has determined that no reserves for unrecoverable advances are necessary at June 30, 2017 and December 31, 2016. For further discussion on the Company&#8217;s receivables and other assets, including the Company&#8217;s servicing advances, see Note 13.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of comprehensive income. The difference between the fair value of MSRs and their amortized cost basis is recorded on the consolidated statements of income as &#8220;Unrealized <font style="font-size: 10pt; font-family: 'Times New Roman';">gain (loss) on investments in MSRs.&#8221; Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields.</font></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As a result of the Company&#8217;s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the applicable agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 31, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 2017. Four of the five loans purchased were sold during the six month period ended June 30, 2017, and the Company did not recognize any losses on such sales. </div><br /><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Derivatives and Hedging Activities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Derivative transactions include swaps, swaptions, Treasury futures and &#8220;to-be-announced&#8221; securities (&#8220;TBAs&#8221;). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and Treasury futures are used for duration risk and basis risk management purposes. The decision whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company&#8217;s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company&#8217;s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Classification</u></font> &#8211; All derivatives are recognized as either assets or liabilities on the consolidated balance sheets and measured at fair value. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under a contract may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable by law. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company believes a legal right of offset exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font> &#8211; With respect to derivatives that have not been designated as hedges, any net payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in &#8220;Realized and unrealized gains (losses) on derivatives, net&#8221; in the consolidated statements of income.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Cash and Cash Equivalents and Restricted Cash</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company&#8217;s cash held by counterparties (i) as collateral against the Company&#8217;s derivatives (approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">13.5</font> million and $1.1 million at June 30, 2017 and December 31, 2016, respectively), (ii) as collateral for borrowings under its repurchase agreements (approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">5.8</font> million and $20.4 million at June 30, 2017 and December 31, 2016, respectively) and (iii) as collateral for outstanding borrowings on a $25 million term loan secured by a pledge of the Company&#8217;s portfolio of Excess MSRs ($<font style="font-size: 10pt; font-family: 'Times New Roman';">0.0</font> at June 30, 2017 and approximately $1.1 million at December 31, 2016). For further information on the restricted cash as it relates to the term loan, see Note 12.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Due to Affiliates</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Income Taxes</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. The Company expects to continue to qualify to be treated as a REIT. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its REIT taxable income to stockholders and does not engage in prohibited transactions. The Company&#8217;s taxable REIT subsidiaries (&#8220;TRSs&#8221;), CHMI Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company accounts for income taxes in accordance with ASC 740, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Income Taxes</font>. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company&#8217;s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties.</div><div>&#160;</div><div style="clear: both;"><div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Realized Gain (Loss) on Investments, Net</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands):</div></div><div>&#160;</div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on RMBS, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Gain on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">235</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">555</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Loss on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(77</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(333</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Net realized gain (loss) on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(77</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">235</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(333</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">555</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,797</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(299</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,814</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,760</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,633</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,228</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,551</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,426</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on Excess MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,678</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on Excess MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(149</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,456</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,507</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,076</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5,308</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on acquired assets, net</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(11,014</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(4,517</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,785</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(15,395</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table></div><div style="font-weight: bold; clear: both;">&#160;</div><div style="font-weight: bold; clear: both;">Repurchase Agreements and Interest Expense</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Dividends Payable</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Because the Company is organized and operated as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly and special dividend payments. The Company accrues the dividend payable on the dividend declaration date, which causes an offsetting reduction in retained earnings as of the dividend declaration date.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Comprehensive Income</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company&#8217;s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Recent Accounting Pronouncements</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font> &#8211; In May 2014, the Financial Accounting Standards Board (&#8220;FASB&#8221;) issued Accounting Standards Update (&#8220;ASU&#8221;) 2014-09, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Revenue from Contracts with Customers</font>, which supersedes the revenue recognition requirements in ASC 606, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Revenue Recognition</font>, and most industry-specific guidance throughout the Industry Topics of the Codification. Under the new revenue recognition guidance, entities are required to identify the contract with a customer, identify the performance obligations in the contract, determine the transaction price, allocate the transaction price to the performance obligations in the contract and recognize revenue when the entity satisfies a performance obligation. In April 2015, the FASB voted for a one-year deferral of the effective date, resulting in this new guidance being effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017. Subsequent to the initial issuance, the FASB has continued to issue updates to this guidance to provide additional clarification and implementation instructions to issuers regarding (i) principal versus agent considerations, (ii) identifying performance obligations, (iii) licensing, and (iv) narrow-scope improvements and practical expedients relating to assessing collectability, presentation of sales taxes, non-cash consideration, and completed contracts and contract modifications at transition. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU No. 2014-09. The Company evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans,&#160;"the Company"&#160;considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. As a result, the Company does not expect the adoption of ASU No. 2014-09 to have a material impact on its consolidated financial statements.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Credit Losses</u></font> &#8722; In June 2016, the FASB issued ASU 2016-13, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Financial Instruments&#8212;Credit Losses</font>, an accounting standards update that changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on Available-for-Sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. This guidance requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. The Company is evaluating the adoption of this ASU.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Statement of Cash Flows</u></font> &#8722; In August 2016, the FASB issued ASU 2016-15, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Classification of Certain Cash Receipts and Cash Payments</font>, an accounting standards update that amends the guidance on the classification of certain cash receipts and cash payments presented within the statement of cash flows to reduce the existing diversity in practice. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Income Taxes</u></font> &#8722; In October 2016, the FASB issued ASU 2016-16, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Income Taxes</font>, an accounting standards update that amends the guidance on the classification of income taxes related to the intra-entity transfer of assets other than inventory. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements. However, the significance of adoption is dependent on the nature of the transactions and corresponding tax laws in effect at the time of adoption.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Restricted Cash</u></font> &#8722; In November 2016, the FASB issued ASU 2016-18, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Statement of Cash Flows</font>, an accounting standards update that amends the guidance on restricted cash within the statement of cash flows. The update amends the classification of restricted cash and cash equivalents to be included within cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The adoption will impact the presentation of the cash flows, but will not otherwise have a material impact on the consolidated results of operations or financial condition.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Changes in Presentation</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Certain prior period amounts have been reclassified to conform to current period presentation.</div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Basis of Accounting</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (&#8220;GAAP&#8221;) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein.</div></div> 15824000 30520000 10603000 9820000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Cash and Cash Equivalents and Restricted Cash</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company&#8217;s cash held by counterparties (i) as collateral against the Company&#8217;s derivatives (approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">13.5</font> million and $1.1 million at June 30, 2017 and December 31, 2016, respectively), (ii) as collateral for borrowings under its repurchase agreements (approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">5.8</font> million and $20.4 million at June 30, 2017 and December 31, 2016, respectively) and (iii) as collateral for outstanding borrowings on a $25 million term loan secured by a pledge of the Company&#8217;s portfolio of Excess MSRs ($<font style="font-size: 10pt; font-family: 'Times New Roman';">0.0</font> at June 30, 2017 and approximately $1.1 million at December 31, 2016). For further information on the restricted cash as it relates to the term loan, see Note 12.</div></div> -783000 14696000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 10 &#8212; Commitments and Contingencies</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following represents commitments and contingencies of the Company as of June 30, 2017 and December 31, 2016:</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Management Agreement</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% management fee annual rate and the stockholders&#8217; equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. The Company relies on resources of Freedom Mortgage to provide the Manager with the necessary resources to conduct Company operations. For further discussion regarding the management fee, see Note 7.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Legal and Regulatory</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">From time to time, the Company may be subject to potential liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company&#8217;s consolidated financial statements, and, therefore, <font style="font-size: 10pt; font-family: 'Times New Roman';">no accrual</font> is required as of June 30, 2017 and December 31, 2016.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Commitments to Purchase/Sell RMBS</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As of June 30, 2017 and December 31, 2016, the Company held forward TBA purchase and sale commitments, respectively, with counterparties, which are forward RMBS trades, whereby the Company committed to purchasing a pool of securities at a particular interest rate. As of the date of the trade, the mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade are not yet designated. The securities are typically &#8220;to be announced&#8221; 48 hours prior to the established trade settlement date.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As of June 30, 2017, the Company was obligated to purchase approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">14.9</font> million of Fannie Mae and Freddie Mac securities and was not obligated to sell any securities and they have been classified within &#8220;payables for unsettled trades&#8221; on the consolidated balance sheet. As of December 31, 2016, the Company was not obligated to purchase any securities and was obligated to sell approximately $6.0 million of securities which have been classified within &#8220;payables for unsettled trades&#8221; on the consolidated balance sheets.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Acknowledgment Agreements</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In order to have Ginnie Mae acknowledge our interest in Excess MSRs related to FHA and VA mortgage loans that were pooled into securities guaranteed by Ginnie Mae, the Company entered into an acknowledgment agreement with Ginnie Mae and Freedom Mortgage. Under that agreement, if Freedom Mortgage failed to make a required payment to the holders of the Ginnie Mae-guaranteed RMBS, the Company would have been obligated to make that payment even though the payment may have related to loans for which the Company did not own any Excess MSRs. The Company&#8217;s failure to make that payment would have resulted in liability to Ginnie Mae for any losses or claims that it suffered as a result.&#160; This agreement was terminated in February 2017 in connection with the disposition of the remaining Excess MSRs back to Freedom Mortgage.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In connection with the MSR Financing Facility (as defined below) entered into by Aurora and QRS III, those parties also entered into an acknowledgment agreement with Fannie Mae. Pursuant to that agreement, Fannie Mae consented to the pledge by Aurora and QRS III of their respective interests in MSRs for loans owned or securitized by Fannie Mae, and acknowledged the security interest of the lender in those MSRs. See Note 12&#8212;Notes Payable for a description of the MSR Financing Facility.</div></div> 0.98 0.98 7525348 12708547 500000000 500000000 1000 500000000 127000 75000 1335218 1288869 1335218 0.01 0.01 0.01 12708547 7525348 7519038 7525348 7528503 12708547 4711000 4265000 28082000 4879000 -43000 70000 68000 399000 28481000 4779000 4949000 4222000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Comprehensive Income</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company&#8217;s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale.</div></div> 903000 2218000 991000 501000 0 501000 0 0 0 0 0 991000 0 0 2218000 903000 0 21000 0 112000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 12 &#8211; Notes Payable</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In September 2016, Aurora and QRS III entered into a loan and security agreement (the &#8220;MSR Financing Facility&#8221;), pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings up to a maximum of $25.0 million outstanding at any one time. The MSR financing facility has a two-year revolving period, subject to extension by agreement, during which only interest payments are due. Borrowings bear interest at a spread over one month LIBOR. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan with monthly payments of interest (calculated as a spread over the rate for one-year interest rate swaps) and principal (calculated on a ten-year amortization schedule).</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">At December 31, 2016 the Company had outstanding borrowings of $8.9 million on the $25 million NexBank term loan (the &#8220;Term Loan&#8221;). The Term Loan was paid in full in connection with the sale of the Excess MSRs in Excess MSR Pool 2 back to Freedom Mortgage in February 2017.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In May 2017, the Company, Aurora and QRS IV obtained a $<font style="font-size: 10pt; font-family: 'Times New Roman';">20.0</font> million loan (the &#8220;MSR Term Facility&#8221;) secured by the pledge of Aurora&#8217;s Ginnie Mae MSRs and the ownership interest in QRS IV. The loan bears interest at a fixed rate of 6.18% per annum, amortizes on a ten-year amortization schedule and is due on May 18, 2022.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Long-Term Borrowings Repayment Characteristics</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;"><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; padding-left: 24%; width: 13%;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2018</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2019</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2020</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2021</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: center; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid; font-weight: bold; text-align: center;">2022</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 13%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 9pt; text-indent: -9pt;">MSR Term Facility</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 13%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Borrowings under MSR Term Facility</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">11,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 13%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 9pt; text-indent: -9pt;">MSR Financing Facility</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 13%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Borrowings under MSR Financing Facility</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">295</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,222</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,289</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">15,500</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 13%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,295</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,222</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,289</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">14,694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">11,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">35,500</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div><div style="clear: both;">&#160;</div><div style="font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 24%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2018</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2019</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2020</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2021</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 24%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Term Loan</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 24%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Borrowings under Term Loan</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,841</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,005</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,040</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8,886</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 24%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">MSR Financing Facility</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 24%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Borrowings under Financing Facility</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">271</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,118</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,175</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">11,436</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">14,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 24%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,841</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,276</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">4,158</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,175</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">11,436</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">22,886</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div> 1197440000 594615000 617501000 0 1232940000 35500000 22886000 0 P2Y 0.0618 2020-05-18 -134000 -522000 -4000 -58000 393000 531000 0 0 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 8 &#8212; Derivative Instruments</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Interest Rate Swap Agreements, Swaptions, TBAs and Treasury Futures</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In order to help mitigate exposure to higher short-term interest rates in connection with its repurchase agreements, the Company enters into interest rate swap agreements and swaption agreements. Interest rate swap agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company&#8217;s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company&#8217;s interest rate swap agreements and swaptions have not been designated as qualifying hedging instruments for GAAP purposes.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In order to help mitigate duration risk and basis risk management, the Company utilizes Treasury futures and forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular RMBS to be delivered is not identified until shortly before the TBA settlement date.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Non-hedge derivatives</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">June 30, 2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">December 31, 2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">781,650</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">415,850</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of swaptions</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">70,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of TBAs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(17,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">50,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of options on Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total notional amount</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">864,650</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">549,850</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents information about the Company&#8217;s interest rate swap agreements as of the dates indicated (dollars in thousands):</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Notional</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amount</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Pay</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Receive Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; white-space: nowrap; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Years </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">to Maturity</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">781,650</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.78</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.18</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">415,850</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.46</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.90</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="clear: both;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents information about the Company&#8217;s interest rate swaption agreements as of the dates indicated (dollars in thousands):</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Notional</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amount</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Pay </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; white-space: nowrap; border-bottom: #000000 2px solid; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Receive </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rate<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; white-space: nowrap; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Years </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">to Maturity</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.79</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: right;">LIBOR-BBA</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">%</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10.7</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">70,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.74</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: right;">LIBOR-BBA</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">%</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="text-align: justify;"><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Floats in accordance with LIBOR.</div></td></tr></table></div><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: normal; text-align: left;">The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income (loss) for the periods indicated (dollars in thousands):</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Realized Gains (Losses) on Derivatives</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 15%;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 26%;">&#160;&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid; width: 15%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Non-Hedge Derivatives</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid; width: 26%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Consolidated Statements of Income (Loss) Location</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 15%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 26%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(436</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(398</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(595</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,748</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 15%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Swaptions</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 26%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(140</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(69</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(140</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 15%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 26%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(402</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">56</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(514</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 15%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Treasury futures</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 26%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(959</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">183</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,636</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">154</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 15%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 26%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(1,797</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(299</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(2,814</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(1,760</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table><div style="clear: both;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Offsetting Assets and Liabilities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association (&#8220;ISDA&#8221;). Under GAAP, if the Company has a valid right of offset, it may offset the related asset and liability and report the net amount. The Company presents interest rate swaps, swaptions and Treasury futures assets and liabilities on a gross basis in its consolidated balance sheets. The Company presents TBA assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements in this section even though they are not derivatives because they are subject to master netting arrangements. However, repurchase agreements are presented on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables present information about the Company&#8217;s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company&#8217;s consolidated balance sheets as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Offsetting Assets and Liabilities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Net Amounts</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of Assets</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Amounts Not Offset in the </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated Balance Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 18%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amounts of</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recognized</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Assets or</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Liabilities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amounts</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Offset in the</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Presented in</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">the</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Financial</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Instruments</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Cash</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Collateral</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Received</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Pledged)</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Net Amount</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Swaptions</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(144</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;(144</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">)&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(144</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(144</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; font-weight: bold; text-align: left; width: 1%; background-color: #cceeff;">)&#160;</td></tr></table><div>&#160;</div><div>&#160;</div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Repurchase agreements</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,197,440</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,197,440</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,191,663</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5,777</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,096</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(13,361</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,200,705</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,200,705</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(1,181,567</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(19,138</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amounts</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Net Amounts</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of Assets</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Presented in</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="7" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Amounts Not Offset in</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">the Consolidated Balance</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 18%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amounts of</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recognized</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Assets or</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Liabilities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Offset in the</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">the</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Financial</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Instruments</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Cash</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Collateral</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Received</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Pledged)</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Net Amount</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Assets</div></td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Swaptions</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Assets</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="clear: both;">&#160;</div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Repurchase agreements</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">594,615</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">594,615</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(574,181</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(20,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">280</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">280</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">526</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(806</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">595,309</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">595,309</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(573,730</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(21,579</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div> 0 0 0 0 0 0 0 0 0 1482000 6303000 7106000 727000 76000 7639000 9121000 -21579000 -19138000 -339000 0 -806000 -13361000 -5777000 -20434000 144000 0 0 0 0 0 0 144000 0 0 0 0 0 0 0 0 7106000 9121000 1482000 6303000 76000 727000 7639000 0 0 0 0 1482000 727000 0 9121000 0 76000 9121000 7639000 0 7106000 727000 0 1482000 76000 0 0 0 0 0 0 6303000 7639000 0 6303000 7106000 -526000 1181567000 574181000 75000 573730000 -10096000 0 1191663000 3265000 694000 339000 339000 0 3265000 280000 0 0 0 3265000 694000 0 75000 0 0 0 75000 0 0 694000 0 3265000 280000 3265000 0 9121000 76000 6303000 7106000 1482000 727000 7639000 0 280000 1197440000 339000 1200705000 595309000 3265000 594615000 75000 0 0 0 0 0 0 0 0 0 0 0 0 -144000 0 0 -144000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Derivatives and Hedging Activities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Derivative transactions include swaps, swaptions, Treasury futures and &#8220;to-be-announced&#8221; securities (&#8220;TBAs&#8221;). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and Treasury futures are used for duration risk and basis risk management purposes. The decision whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company&#8217;s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company&#8217;s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Classification</u></font> &#8211; All derivatives are recognized as either assets or liabilities on the consolidated balance sheets and measured at fair value. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under a contract may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable by law. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company believes a legal right of offset exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font> &#8211; With respect to derivatives that have not been designated as hedges, any net payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in &#8220;Realized and unrealized gains (losses) on derivatives, net&#8221; in the consolidated statements of income.</div></div> 6228000 4816000 0 0 0 0 7369000 0 9915000 0 9915000 7369000 0 0 3000000 2533000 1894000 -0.12 0.04 2.03 -0.90 0.04 2.03 -0.12 -0.90 0.350 0.350 0.000 0.008 -0.350 -0.280 0.078 0.000 P3Y 1300000 61263000 74455000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company&#8217;s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value Measurements</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;"><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; padding-left: 19%; width: 21.33%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;"></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Valuation Technique</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;"></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unobservable Input <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Range</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">MSRs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Conventional</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">31,491</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discounted&#160;cash&#160;flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Constant&#160;prepayment&#160;speed</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6.9% - 20.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">11.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Uncollected payments</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.4% - 5.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;"></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discount rate</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Annual cost to service, per loan</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;&#160;&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">71</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Government</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">42,964</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discounted&#160;cash&#160;flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Constant&#160;prepayment&#160;speed</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.1% - 17.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8.7</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Uncollected payments</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.8% - 39.5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discount rate</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Annual cost to service, per loan</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;&#160;&#160;</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">98</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">TOTAL</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">$</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: right;">74,455</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Discounted cash flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 21.33%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Valuation Technique</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unobservable Input <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Range</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Excess MSR Pool 2</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">29,392</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discounted cash flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Constant prepayment speed</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7.8% - 31.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">14.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Uncollected Payments</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8.3% - 13.1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">11.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discount rate</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Conventional MSRs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">31,871</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discounted&#160;cash&#160;flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Constant&#160;prepayment&#160;speed</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7.1% - 24.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10.6</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Uncollected payments</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.8% - 1.4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discount rate</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Annual cost to service, per loan</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">64</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">TOTAL</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Discounted cash flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div>&#160;</div><div><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.</div></td></tr></table></div></div> 0.093 0.093 0.120 0.162 0.087 0.078 0.143 0.202 0.071 0.106 0.051 0.173 0.249 0.319 0.069 0.112 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 9 &#8211; Fair Value</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Fair Value Measurements</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity&#8217;s own credit standing, when measuring fair value of a liability.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument&#8217;s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels:</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Level 1</font> inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Level 2</font> inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Level 3</font> unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that management believes market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Recurring Fair Value Measurements</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following is a description of the methods used to estimate the fair values of the Company&#8217;s assets and liabilities measured at fair value on a recurring basis, as well as the basis for classifying these assets and liabilities as Level 2 or 3 within the fair value hierarchy. The Company&#8217;s valuations consider assumptions that it believes a market participant would consider in valuing the assets and liabilities, the most significant of which are disclosed below. The Company reassesses and periodically adjusts the underlying inputs and assumptions used in the valuations for recent historical experience, as well as for current and expected relevant market conditions.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><u>RMBS</u></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company holds a portfolio of RMBS that are classified as available for sale and are carried at fair value in the consolidated balance sheets. The Company determines the fair value of its RMBS based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at June 30, 2017 and December 31, 2016.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><u>Excess MSRs</u></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company held a portfolio of Excess MSRs that are reported at fair value in the consolidated balance sheet at December 31, 2016. The Company used a discounted cash flow model to estimate the fair value of these assets. Although Excess MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels and discount rates). As a result, the Company classified 100% of its Excess MSRs as Level 3 fair value assets at December 31, 2016. The Company did not hold any Excess MSRs at June 30, 2017.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><u>MSRs</u></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. The Company uses a discounted cash flow model to estimate the fair value of these assets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value assets at June 30, 2017 and December 31, 2016.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><u>Derivative Instruments</u></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company enters into a variety of derivative instruments as part of its economic hedging strategies. The Company executes interest rate swaps, swaptions, TBAs and treasury futures. The Company utilizes third-party pricing providers to value its derivative instruments. As a result, the Company classified 100% of its derivative instruments as Level 2 fair value assets and liabilities at June 30, 2017 and December 31, 2016.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Both the Company and the derivative counterparties under their netting arrangements are required to post cash collateral based upon the net underlying market value of the Company&#8217;s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company&#8217;s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Based on the Company&#8217;s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables present the Company&#8217;s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recurring Fair Value Measurements</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Fannie Mae</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">885,201</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">885,201</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Freddie Mac</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">425,256</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">425,256</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">CMOs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">67,977</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">67,977</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">RMBS total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaptions</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative assets total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Servicing related assets</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,385,540</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,459,995</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Derivative liabilities total</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Fannie Mae</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">448,937</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">448,937</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Freddie Mac</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">198,103</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">198,103</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">CMOs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24,864</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24,864</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">RMBS total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaptions</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative assets total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Servicing related assets</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">681,025</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">742,288</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">280</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">280</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Derivative liabilities total</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div style="clear: both;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of June 30, 2017 and December 31, 2016, the Company <font style="font-size: 10pt; font-family: 'Times New Roman';">did not have any</font> assets or liabilities measured at fair value on a nonrecurring basis in the periods presented.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Level 3 Assets and Liabilities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The valuation of Level 3 assets and liabilities requires significant judgment by the third-party pricing providers and management. The third-party pricing providers and management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by third-party pricing providers and management in the absence of market information. Assumptions used by third-party pricing providers and management due to lack of observable inputs may significantly impact the resulting fair value and, therefore, the Company&#8217;s consolidated financial statements. The Company&#8217;s management reviews all valuations that are based on pricing information received from third-party pricing providers. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In connection with the above, the Company estimates the fair value of its Servicing Related Assets based on internal pricing models rather than quotations, and compares the results of these internal models against the results from models generated by third-party valuation specialists. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair values. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of June 30, 2017 and December 31, 2016 and do not take into consideration the effects of subsequent changes in market or other factors.</div><div>&#160;</div><div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: normal; text-align: left;">The tables below present the reconciliation for the Company&#8217;s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands):</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3 Fair Value Measurements</div><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="10" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3 <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Pool 2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">MSRs</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Balance at December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">29,392</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">31,871</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Purchases, sales and principal paydowns:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Purchases</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35,800</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35,800</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Sales</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">(35,905</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">)</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">-</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">(35,905</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">)</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other changes <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(B)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,513</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,021</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,492</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Purchases, sales and principal paydowns:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(29,392</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">34,779</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,387</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Changes in Fair Value due to:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Changes in valuation inputs or assumptions used in valuation model</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,425</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,425</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other changes in fair value <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,620</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,620</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) included in Net Income</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Balance at June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="18" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3 <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Pool 1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Pool 2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Excess MSR Pool 2014</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">MSRs</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Balance at December 31, 2015</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">43,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">33,054</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,506</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">19,761</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">97,803</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Purchases, sales and principal paydowns:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Purchases</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,179</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,179</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Sales</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(39,916</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,179</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(41,095</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Proceeds from principal paydowns</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,566</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,911</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(327</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,804</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other changes (B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(784</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(784</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Purchases, sales and principal paydowns:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(43,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,911</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,506</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">15,395</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(33,504</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Changes in Fair Value due to:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Changes in valuation inputs or assumptions used in valuation model</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">249</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">227</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">476</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other changes in fair value (C)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) included in Net Income</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">249</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,285</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,036</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Balance at December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">29,392</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">31,871</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div><div>&#160;</div><div><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="width: 20.25pt;"></td><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Includes the recapture agreement for each respective pool.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="width: 20.25pt;"></td><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company&#8217;s repurchase of the underlying collateral.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="width: 20.25pt;"></td><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Represents changes due to realization of expected cash flows.</div></td></tr></table></div><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company&#8217;s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value Measurements</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;"><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; padding-left: 19%; width: 21.33%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;"></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Valuation Technique</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;"></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unobservable Input <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Range</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">MSRs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Conventional</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">31,491</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discounted&#160;cash&#160;flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Constant&#160;prepayment&#160;speed</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6.9% - 20.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">11.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Uncollected payments</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.4% - 5.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;"></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discount rate</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Annual cost to service, per loan</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;&#160;&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">71</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Government</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">42,964</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discounted&#160;cash&#160;flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Constant&#160;prepayment&#160;speed</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.1% - 17.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8.7</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Uncollected payments</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.8% - 39.5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discount rate</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Annual cost to service, per loan</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;&#160;&#160;</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">98</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">TOTAL</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">$</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: right;">74,455</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Discounted cash flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 21.33%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Valuation Technique</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 21.33%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unobservable Input <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Range</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Excess MSR Pool 2</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">29,392</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discounted cash flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Constant prepayment speed</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7.8% - 31.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">14.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Uncollected Payments</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8.3% - 13.1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">11.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discount rate</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Conventional MSRs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">31,871</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discounted&#160;cash&#160;flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Constant&#160;prepayment&#160;speed</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7.1% - 24.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10.6</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Uncollected payments</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.8% - 1.4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Discount rate</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 21.33%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Annual cost to service, per loan</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">64</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">TOTAL</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Discounted cash flow</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 21.33%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div>&#160;</div><div><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.</div></td></tr></table></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: justify;">Fair Value of Financial Instruments not Carried at Fair Value in Balance Sheets</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheet, for which fair value can be estimated. The following describes the Company&#8217;s methods for estimating the fair value for financial instruments.</div><div><br /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">&#8226;</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">RMBS available for sale securities, Servicing Related Assets, derivative assets and derivative liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the &#8220;Fair Value Measurements&#8221; section of this footnote.</div></td></tr></table></div><div><br /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">&#8226;</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments.</div></td></tr></table></div><div><br /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">&#8226;</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The carrying value of repurchase agreements and corporate debt that mature in less than one year generally approximates fair value due to the short maturities. The Company does not hold any repurchase agreements that are considered long-term.</div></td></tr></table></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Corporate debt that matures in more than one year generally approximates fair value.</div></div> 41095000 1179000 39916000 0 0 35905000 35905000 0 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: normal; text-align: left;">The tables below present the reconciliation for the Company&#8217;s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands):</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3 Fair Value Measurements</div><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="10" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3 <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Pool 2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">MSRs</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Balance at December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">29,392</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">31,871</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Purchases, sales and principal paydowns:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Purchases</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35,800</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35,800</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Sales</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">(35,905</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">)</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">-</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">(35,905</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">)</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other changes <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(B)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,513</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,021</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,492</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Purchases, sales and principal paydowns:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(29,392</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">34,779</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,387</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Changes in Fair Value due to:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Changes in valuation inputs or assumptions used in valuation model</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,425</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,425</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other changes in fair value <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,620</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,620</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 64%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) included in Net Income</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 64%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Balance at June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="18" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3 <sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Pool 1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Pool 2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Excess MSR Pool 2014</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">MSRs</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Balance at December 31, 2015</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">43,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">33,054</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,506</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">19,761</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">97,803</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Purchases, sales and principal paydowns:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Purchases</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,179</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,179</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Sales</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(39,916</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,179</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(41,095</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Proceeds from principal paydowns</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,566</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,911</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(327</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,804</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other changes (B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(784</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(784</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Purchases, sales and principal paydowns:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(43,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,911</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,506</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">15,395</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(33,504</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Changes in Fair Value due to:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Changes in valuation inputs or assumptions used in valuation model</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">249</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">227</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">476</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other changes in fair value (C)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 40%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) included in Net Income</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">249</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,285</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,036</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 40%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Balance at December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">29,392</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">31,871</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div><div>&#160;</div><div><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="width: 20.25pt;"></td><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Includes the recapture agreement for each respective pool.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="width: 20.25pt;"></td><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company&#8217;s repurchase of the underlying collateral.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="width: 20.25pt;"></td><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Represents changes due to realization of expected cash flows.</div></td></tr></table></div></div> -1506000 15395000 -29392000 -3911000 5387000 34779000 -43482000 -33504000 694000 0 3265000 3265000 0 0 0 694000 -333000 555000 -77000 235000 -299000 -1760000 -1797000 -2814000 -398000 -2814000 -1760000 56000 -299000 -26000 -140000 -959000 -1636000 -595000 -436000 183000 -1797000 -1748000 -140000 -69000 0 154000 -514000 -402000 -4517000 -15395000 7785000 -11014000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands):</div><div>&#160;</div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on RMBS, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Gain on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">235</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">555</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Loss on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(77</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(333</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Net realized gain (loss) on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(77</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">235</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(333</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">555</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,797</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(299</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,814</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,760</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,633</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,228</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,551</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,426</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on Excess MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,678</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on Excess MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(149</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,456</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,507</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,076</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5,308</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on acquired assets, net</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(11,014</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(4,517</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,785</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(15,395</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table></div> 2020000 1045000 822000 1630000 24991000 -802000 1806000 -4448000 -7458000 20917000 -3009000 294000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 14 &#8211; Income Taxes</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is the Company&#8217;s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within the next year as permitted by the Code.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Effective January 1, 2014, CHMI Solutions has elected to be taxed as a corporation for U.S. federal income tax purposes; prior to this date, CHMI Solutions was a disregarded entity for U.S. federal income tax purposes. CHMI Solutions has jointly elected with the Company, the ultimate beneficial owner of CHMI Solutions, to be treated as a TRS of the Company, and all activities conducted through CHMI Solutions and its wholly-owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora and is fully taxed as a U.S. C-Corporation.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company&#8217;s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The components of the Company&#8217;s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 66%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,&#160;</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 66%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 66%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Current federal income tax expense</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">112</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 66%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Current state income tax expense</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">21</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 66%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Deferred federal income tax expense (benefit)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(134</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(522</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 66%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Deferred state income tax expense (benefit)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(58</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 66%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Income Tax Expense</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; font-weight: bold; text-align: left; width: 1%; background-color: #cceeff;">)&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(580</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table><div style="clear: both;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="14" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Computed income tax (benefit) expense at federal rate</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,321</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,610</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">State taxes, net of federal benefit, if applicable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(58</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Permanent differences in taxable income from GAAP pre-tax income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">REIT income not subject to tax</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,326</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(35.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,088</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(28.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)%</div></td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">(Benefit from) Provision for Income Taxes/Effective Tax Rate<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><font style="font-weight: bold;">)</font>&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">0.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(580</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr></table><div style="clear: both;"><br /></div><div><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The provision for income taxes is recorded at the TRS level.</div></td></tr></table></div><div style="text-align: justify;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company&#8217;s consolidated balance sheets, at June 30, 2017 and December 31, 2016, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands):</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,&#160;&#160;</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Income taxes payable</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Federal income taxes payable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">650</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">State and local income taxes payable</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">82</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Income taxes payable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">732</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">June 30, 2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">December 31, 2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Deferred tax (assets) liabilities</div></td><td valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Deferred tax - organizational expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(51</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(53</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Deferred tax - mortgage servicing rights</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(480</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">)</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(340</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Total net deferred tax (assets) liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(531</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><font style="font-weight: bold;">)</font></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(393</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The deferred tax&#160;asset as of June 30, 2017 was primarily related to mortgage servicing rights. The deferred tax asset as of December 31, 2016 was primarily related to mortgage servicing rights. No valuation allowance has been established at June 30, 2017 and December 31, 2016. As of June 30, 2017 and December 31, 2016, the deferred tax&#160;asset&#160;is included in &#8220;Accrued expenses and other liabilities&#8221; in the consolidated balance sheets</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Based on the Company&#8217;s evaluation, the Company has concluded that there are no significant uncertain tax positions requiring recognition in the Company&#8217;s consolidated financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company&#8217;s 2016, 2015, 2014, 2013 and 2012 federal, state and local income tax returns remain open for examination by the relevant authorities.</div></div> -5000 10000 -580000 -1344000 0 0 -580000 0 0 -5000 10000 0 0 0 0 -1344000 -2610000 7321000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Income Taxes</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. The Company expects to continue to qualify to be treated as a REIT. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its REIT taxable income to stockholders and does not engage in prohibited transactions. The Company&#8217;s taxable REIT subsidiaries (&#8220;TRSs&#8221;), CHMI Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company accounts for income taxes in accordance with ASC 740, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Income Taxes</font>. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company&#8217;s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties.</div></div> 0 -58000 7326000 -2088000 4421000 8670000 2812000 3795000 596000 368000 134000 639000 9071000 -123000 0 5833000 5710000 3856000 4925000 2752000 0 0 2498000 0 286000 5250000 8781000 9357000 1885000 4292000 3542000 6723000 0 333000 2869000 0 237000 0 4169000 6486000 0 673000 123000 1552000 3653000 3550000 5250000 5710000 9357000 8781000 16080000 7135000 10002000 12323000 10002000 0 0 523000 0 0 4529000 7794000 3085000 15557000 4050000 0 2069000 4273000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Investments in RMBS</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Classification</u></font> &#8211; The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income (loss), to the extent impairment losses, if any, are considered temporary. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described below.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Fair value is determined under the guidance of Accounting Standards Codification (&#8220;ASC&#8221;) 820, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Fair Value Measurements and Disclosures</font> (&#8220;ASC 820&#8221;). The Company determines fair value of its RMBS investments based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. Management&#8217;s judgment is used to arrive at the fair values of RMBS taking into account prices obtained from third-party pricing providers and other applicable market data. The Company&#8217;s application of ASC 820 guidance is discussed in further detail in Note 9.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. Approximately <font style="background-color: #ffffff;"><font style="font-size: 10pt; font-family: 'Times New Roman';">$14.9 </font></font>million in Agency RMBS purchased, but not yet settled, was payable at June 30, 2017. Approximately $6.2 million in Agency RMBS purchased, but not yet settled, was payable at December 31, 2016. All RMBS sold in the year ended December 31, 2016 were settled prior to year-end.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font><font style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;"> &#8211;</font> Interest income from coupon payments is accrued based on the outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are accreted into interest income over the projected lives of the securities using the effective interest method. The Company&#8217;s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus on prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately<font style="background-color: #ffffff;"><font style="font-size: 10pt; font-family: 'Times New Roman';">$4.3</font></font> million and $2.0 million in interest income was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within &#8220;Receivables and other assets&#8221; on the consolidated balance sheets. For further discussion on Receivables and other assets, see Note 13.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Impairment</u></font><font style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;"> &#8211;</font> The Company evaluates its RMBS, on a quarterly basis, to assess whether a decline in the fair value below the amortized cost basis is an other-than-temporary impairment (&#8220;OTTI&#8221;). The presence of OTTI is based upon a fair value decline below a security&#8217;s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if the Company (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security&#8217;s amortized cost basis, even if the Company does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment is recognized currently in earnings and the cost basis of the security is adjusted. However, if the Company does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the OTTI is separated into (i) the estimated amount relating to credit loss, or the credit component, and (ii) the amount relating to all other factors, or the non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted into interest income in accordance with the effective interest method. The Company recorded approximately <font style="background-color: #ffffff;"><font style="font-size: 10pt; font-family: 'Times New Roman';">$77,000 </font></font>of OTTI charges during the three month and six month periods ended June 30, 2017. OTTI recorded during the year ended December 31, 2016 was approximately $173,000. OTTI has been classified within &#8220;Realized gain (loss) on RMBS, net&#8221; on the consolidated statements of income.</div></div> 74225000 933876000 222469000 34596000 450161000 1458262000 750710000 493645000 16069000 1442193000 16069000 734641000 494847000 583304000 593129000 9825000 494847000 0 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 4 &#8212; Investments in RMBS</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">All of the Company&#8217;s RMBS are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income except for securities that are OTTI (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Summary of RMBS Assets</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 14%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Unrealized</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Asset Type</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gains</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Fannie Mae</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">933,876</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">887,558</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,951</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5,308</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">885,201</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">123</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.80</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.60</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Freddie Mac</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">450,161</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">426,039</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,418</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,201</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">425,256</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">52</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.79</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.60</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">CMOs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">74,225</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">63,649</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,328</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">67,977</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">15</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">Unrated</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.04</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.33</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,458,262</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,377,246</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">8,697</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(7,509</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">190</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.85</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 14%;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: center;"></td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: center;"><strong>Original</strong><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face<font style="font-size: 10pt; font-family: 'Times New Roman';"><br /></font> Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Unrealized</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Asset Type</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book<font style="font-size: 10pt; font-family: 'Times New Roman';"><br /></font> Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gains</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">RMBS</div></td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Fannie Mae</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">493,645</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">454,012</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,517</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,592</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">448,937</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.74</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.52</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Freddie Mac</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">222,469</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">200,207</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">587</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,691</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">198,103</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">27</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.62</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.44</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">CMOs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">34,596</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24,086</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">857</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(79</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24,864</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">Unrated</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.78</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">750,710</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">678,305</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,961</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(9,362</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">104</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.74</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.53</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="text-align: justify;">&#160;</div><div style="text-align: justify;"><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(D)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average stated maturity.</div></td></tr></table></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Summary of RMBS Assets by Maturity</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="text-align: left;"><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 14%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Unrealized</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Years to Maturity</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gains</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">5-10 Years</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,696</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">283</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(262</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,717</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.27</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.09</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Over 10 Years</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,442,193</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,360,550</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8,414</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,247</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,361,717</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">187</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.85</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.67</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,458,262</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,377,246</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">8,697</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(7,509</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">190</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.85</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 14%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Unrealized</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Years to Maturity</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gains</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">5-10 Years</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">17,110</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">185</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(454</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,841</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.18</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.94</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Over 10 Years</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">734,641</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">661,195</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,776</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(8,908</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">655,063</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">101</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.73</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.52</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">750,710</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">678,305</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,961</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(9,362</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">104</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.74</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.53</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div>&#160;</div><div><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div>&#160;</div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(D)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average stated maturity.</div></td></tr></table></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">At June 30, 2017 and December 31, 2016, the Company pledged Agency RMBS investments with a carrying value of approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">1,251.8</font> million and $608.6 million, respectively, as collateral for repurchase agreements. At June 30, 2017 and December 31, 2016, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860,<font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;"> Transfers and Servicing</font>, to be considered linked transactions and, therefore, classified as derivatives.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Unrealized losses that are considered OTTI are recognized currently in earnings. Based on management&#8217;s analysis of these securities, the performance of the underlying loans and changes in market factors, management determined that unrealized losses as of the balance sheet date on the Company&#8217;s securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment, and such losses were considered temporary. The Company performed analyses in relation to such securities, using management&#8217;s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. Such market factors include changes in market interest rates and credit spreads and certain macroeconomic events, the events of which will not directly impact the Company&#8217;s ability to collect amounts contractually due. Management continually evaluates the credit status of each of the Company&#8217;s securities and the collateral supporting those securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. Significant judgment is required in this analysis. In connection with the above, the Company weighs the fact that all of its investments in RMBS are guaranteed by U.S. government agencies or U.S. government sponsored entities.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company recorded approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">77,000</font> of OTTI charges during the three month and six month periods ended June 30, 2017. There was approximately $173,000 of OTTI recorded during the year ended December 31, 2016.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables summarize the Company&#8217;s securities in an unrealized loss position as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">RMBS Unrealized Loss Positions</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 12%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 12%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Duration in Loss </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Position</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unrealized</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 6%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Less than Twelve Months</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">583,304</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">562,462</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,187</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">555,275</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">77</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.69</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.48</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Twelve or More Months</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,825</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,921</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(323</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,598</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.50</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.29</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">29</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">593,129</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">572,383</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(7,510</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">564,873</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">78</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.69</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.48</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div style="clear: both;"><br /></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 12%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 12%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Duration in Loss </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Position</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unrealized </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 6%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Less than Twelve Months</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">494,847</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">476,129</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(9,362</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">466,767</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.65</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.40</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Twelve or More Months</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 6%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">494,847</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">476,129</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(9,362</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">466,767</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.65</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.40</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="clear: both;"><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(D)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, the Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity.</div></td></tr></table></div></div> 1378434000 0 671904000 61263000 1452889000 733167000 74455000 0 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Summary of RMBS Assets by Maturity</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="text-align: left;"><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 14%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Unrealized</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Years to Maturity</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gains</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">5-10 Years</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,696</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">283</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(262</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,717</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.27</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.09</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Over 10 Years</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,442,193</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,360,550</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8,414</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,247</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,361,717</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">187</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.85</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.67</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,458,262</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,377,246</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">8,697</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(7,509</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">190</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.85</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 14%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Unrealized</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Years to Maturity</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gains</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">5-10 Years</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">17,110</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">185</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(454</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,841</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.18</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.94</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Over 10 Years</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">734,641</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">661,195</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,776</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(8,908</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">655,063</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">101</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.73</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.52</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">750,710</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">678,305</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,961</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(9,362</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">104</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.74</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.53</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div>&#160;</div><div><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div>&#160;</div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(D)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average stated maturity.</div></td></tr></table></div></div> 636869000 1267000000 604105000 10456000 38162000 7397000 1218382000 25367000 792878000 1522627000 25000000 25000000 25000000 20000000 25000000 22886000 8886000 14000000 15500000 35500000 20000000 4158000 1118000 2000000 1222000 3222000 3040000 11000000 11000000 0 3005000 271000 295000 2295000 2000000 3276000 0 1175000 3289000 1289000 2000000 1175000 11436000 0 11436000 12694000 2000000 14694000 1000000 0 0 1000000 2841000 2841000 971000 1120000 560000 1672000 0.85 0.71 0.85 0.014 1777000 2182000 0 0 24864000 425256000 425256000 67977000 24864000 0 0 671904000 0 67977000 0 0 198103000 0 1378434000 1378434000 885201000 0 0 0 198103000 0 0 671904000 0 448937000 885201000 0 0 448937000 718400000 76800000 98100000 159800000 75 35 18404000 28439000 -703225000 -12687000 20629000 -6780000 283000 -1546000 689482000 -6500000 -98000 1000 293000 -119000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Recent Accounting Pronouncements</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font> &#8211; In May 2014, the Financial Accounting Standards Board (&#8220;FASB&#8221;) issued Accounting Standards Update (&#8220;ASU&#8221;) 2014-09, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Revenue from Contracts with Customers</font>, which supersedes the revenue recognition requirements in ASC 606, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Revenue Recognition</font>, and most industry-specific guidance throughout the Industry Topics of the Codification. Under the new revenue recognition guidance, entities are required to identify the contract with a customer, identify the performance obligations in the contract, determine the transaction price, allocate the transaction price to the performance obligations in the contract and recognize revenue when the entity satisfies a performance obligation. In April 2015, the FASB voted for a one-year deferral of the effective date, resulting in this new guidance being effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017. Subsequent to the initial issuance, the FASB has continued to issue updates to this guidance to provide additional clarification and implementation instructions to issuers regarding (i) principal versus agent considerations, (ii) identifying performance obligations, (iii) licensing, and (iv) narrow-scope improvements and practical expedients relating to assessing collectability, presentation of sales taxes, non-cash consideration, and completed contracts and contract modifications at transition. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU No. 2014-09. The Company evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans,&#160;"the Company"&#160;considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. As a result, the Company does not expect the adoption of ASU No. 2014-09 to have a material impact on its consolidated financial statements.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Credit Losses</u></font> &#8722; In June 2016, the FASB issued ASU 2016-13, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Financial Instruments&#8212;Credit Losses</font>, an accounting standards update that changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on Available-for-Sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. This guidance requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. The Company is evaluating the adoption of this ASU.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Statement of Cash Flows</u></font> &#8722; In August 2016, the FASB issued ASU 2016-15, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Classification of Certain Cash Receipts and Cash Payments</font>, an accounting standards update that amends the guidance on the classification of certain cash receipts and cash payments presented within the statement of cash flows to reduce the existing diversity in practice. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Income Taxes</u></font> &#8722; In October 2016, the FASB issued ASU 2016-16, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Income Taxes</font>, an accounting standards update that amends the guidance on the classification of income taxes related to the intra-entity transfer of assets other than inventory. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements. However, the significance of adoption is dependent on the nature of the transactions and corresponding tax laws in effect at the time of adoption.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Restricted Cash</u></font> &#8722; In November 2016, the FASB issued ASU 2016-18, <font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;">Statement of Cash Flows</font>, an accounting standards update that amends the guidance on restricted cash within the statement of cash flows. The update amends the classification of restricted cash and cash equivalents to be included within cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The adoption will impact the presentation of the cash flows, but will not otherwise have a material impact on the consolidated results of operations or financial condition.</div></div> 7785000 -11014000 -7764000 0 14483000 -1292000 -6698000 -6507000 -3225000 -7631000 -4517000 -15395000 0 0 -4507000 0 22886000 35500000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables present information about the Company&#8217;s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company&#8217;s consolidated balance sheets as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Offsetting Assets and Liabilities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Net Amounts</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of Assets</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Amounts Not Offset in the </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated Balance Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 18%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amounts of</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recognized</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Assets or</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Liabilities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amounts</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Offset in the</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Presented in</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">the</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Financial</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Instruments</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Cash</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Collateral</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Received</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Pledged)</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Net Amount</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Swaptions</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(144</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;(144</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">)&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(144</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(144</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; font-weight: bold; text-align: left; width: 1%; background-color: #cceeff;">)&#160;</td></tr></table><div>&#160;</div><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amounts</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Net Amounts</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of Assets</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Presented in</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="7" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Amounts Not Offset in</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">the Consolidated Balance</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 18%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amounts of</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recognized</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Assets or</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Liabilities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Offset in the</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">the</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Consolidated</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Sheet</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Financial</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Instruments</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Cash</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Collateral</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Received</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Pledged)</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Net Amount</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Assets</div></td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Swaptions</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Assets</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables present information about the Company&#8217;s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company&#8217;s consolidated balance sheets as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Offsetting Assets and Liabilities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Repurchase agreements</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,197,440</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,197,440</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,191,663</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5,777</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,096</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(13,361</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,200,705</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,200,705</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(1,181,567</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(19,138</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Repurchase agreements</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">594,615</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">594,615</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(574,181</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(20,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">280</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">280</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">526</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(806</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">595,309</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">595,309</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(573,730</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(21,579</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div> 3010000 1512000 4074000 2207000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 1 &#8212; Organization and Operations</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the &#8220;Company&#8221;) was organized in the state of Maryland on October 31, 2012 to invest in residential mortgage assets in the United States. Under the Company&#8217;s charter, as of December 31, 2012, the Company was authorized to issue 1,000 shares of common stock. On June 6, 2013, the Company amended and restated its charter and increased its authorized capitalization. Accordingly, at December 31, 2013, the Company was authorized to issue up to 500,000,000 shares of common stock and 100,000,000 shares of preferred stock, each with a par value of $0.01 per share.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The accompanying interim consolidated financial statements include the accounts of the Company&#8217;s subsidiaries, Cherry Hill Operating Partnership LP (&#8220;Operating Partnership&#8221;), Cherry Hill QRS I, LLC, Cherry Hill QRS II, LLC, Cherry Hill QRS III, LLC (&#8220;QRS III&#8221;), Cherry Hill QRS IV, LLC (&#8220;QRS IV&#8221;), CHMI Solutions, Inc. (&#8220;CHMI Solutions&#8221;) and Aurora Financial Group, Inc. (&#8220;Aurora&#8221;).</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On October 9, 2013, the Company completed an initial public offering (the &#8220;IPO&#8221;) and a concurrent private placement of its common stock. The Company did not conduct any activity prior to the IPO and the concurrent private placement. Substantially all of the net proceeds from the IPO and the concurrent private placement were used to invest in excess mortgage servicing rights on residential mortgage loans (&#8220;Excess MSRs&#8221;) and residential mortgage-backed securities (&#8220;RMBS&#8221; or &#8220;securities&#8221;), the payment of principal and interest on which is guaranteed by a U.S. government agency or a U.S. government sponsored enterprise (&#8220;Agency RMBS&#8221;).</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On March 29, 2017, the Company issued and sold 5,175,000 shares of its common stock, par value $0.01 per share, raising approximately $81.1 million after underwriting discounts and commissions but before expenses of approximately $229,000. All of the net proceeds were used to invest on a temporary basis in RMBS pending re-deployment of a substantial portion of those proceeds into the acquisition of MSRs.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company is party to a management agreement (the &#8220;Management Agreement&#8221;) with Cherry Hill Mortgage Management, LLC (the &#8220;Manager&#8221;), a Delaware limited liability company established by Mr. Stanley Middleman. The Manager is a party to a Services Agreement with Freedom Mortgage Corporation (&#8220;Freedom Mortgage&#8221;) which is owned and controlled by Mr. Middleman. The Manager is owned by a &#8220;blind trust&#8221; for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company has elected to be taxed as a real estate investment trust (&#8220;REIT&#8221;), as defined under the Internal Revenue Code of 1986, as amended (the &#8220;Code&#8221;), commencing with its short taxable year ended December 31, 2013. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes.</div></div> 5887000 11827000 4495000 7559000 -333000 555000 235000 -77000 173000 77000 77000 77000 173000 77000 30523000 18390000 8826000 33447000 32495000 59711000 5768000 69738000 7226000 12382000 4730000 5810000 1512000 0 4074000 0 0 2207000 3010000 1512000 2207000 0 3010000 0 0 0 0 4074000 20942000 2481000 9490000 19368000 2662000 7397000 10456000 34060000 0 11827000 7559000 0 0 0 0 0 0 0 7559000 11827000 1779000 2006000 73393000 749246000 7369000 9915000 6228000 3689000 946000 567000 661000 7804000 3566000 3911000 0 327000 0 0 100000000 100000000 100000000 0.01 0.01 0.01 0 0 0 0 4500000000 0 22000000 3187000 -5909000 80940000 75000 0 7000000 7610000 45501000 38000000 -6878000 -1665000 284000 20922000 -98000 0 0 293000 0 -6780000 0 20629000 0 0 22623000 590000 1216000 2373000 -674000 -1512000 -4074000 -2207000 1206000 -3010000 -1162000 -2706000 14900000 0 0 0 0 0 29800 5200 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 7 &#8212; Transactions with Affiliates and Affiliated Entities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Manager</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company has entered into the Management Agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company&#8217;s operations. The Management Agreement requires the Manager to manage the Company&#8217;s business affairs in conformity with the policies that are approved and monitored by the Company&#8217;s board of directors. The Management Agreement terminates on October 22, 2020, subject to automatic renewal for successive one-year terms and to certain termination rights. The Manager&#8217;s performance is reviewed prior to any renewal and may be terminated by the Company for cause without payment of a termination fee, or may be terminated without cause with payment of a termination fee, as defined in the Management Agreement, equal to three times the average annual management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the effective date of the termination, upon either the affirmative vote of at least two-thirds of the members of the board of directors or the affirmative vote of the holders of at least a majority of the outstanding common stock. Pursuant to the Management Agreement, the Manager, under the supervision of the Company&#8217;s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of the Company&#8217;s assets and provides certain advisory, administrative and managerial services in connection with the operations of the Company. For performing these services, the Company pays the Manager the management fee which is payable in cash quarterly in arrears, in an amount equal to 1.5% per annum of the stockholders&#8217; equity (as defined in the Management Agreement).</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Manager is a party to a services agreement (the &#8220;Services Agreement&#8221;) with Freedom Mortgage, pursuant to which Freedom Mortgage provides to the Manager the personnel, services and resources as needed by the Manager to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the Services Agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against Freedom Mortgage in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by Freedom Mortgage of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. Pursuant to the Services Agreement, the Manager will make certain payments to Freedom Mortgage in connection with the services provided.&#160; The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated, both the Manager and Freedom Mortgage were controlled by Mr. Stanley Middleman, who is also a shareholder of the Company. Ownership of the Manager has been transferred to CHMM Blind Trust, a grantor trust for the benefit of Mr. Middleman.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company&#8217;s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. &#8220;Due to affiliates&#8221; consisted of the following for the periods indicated (dollars in thousands):</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Management Fee to Affiliate</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Management fees</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">971</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">560</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,672</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,120</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Compensation reimbursement</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">191</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">130</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">382</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">260</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,162</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">690</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,054</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,380</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Subservicing Agreement</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Freedom Mortgage is directly servicing the Company&#8217;s portfolio of Fannie Mae and Freddie Mac MSRs pursuant to a subservicing agreement entered into on June 10, 2015. The agreement has an initial term of three (3) years, expiring on September 1, 2018, and is subject to automatic renewal for additional three year terms unless either party chooses not to renew. The agreement may be terminated without cause by either party by giving notice as specified in the agreement.&#160; Under that agreement, Freedom Mortgage agrees to service the applicable mortgage loans in accordance with applicable law and the requirements of the applicable agency. The Company pays fees for specified services.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Joint Marketing Recapture Agreement</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora&#8217;s MSR portfolio as directed by Aurora. If a loan is refinanced, Aurora will pay Freedom Mortgage a fee for its origination services. Freedom Mortgage will be entitled to sell the loan for its own benefit and will transfer the related MSR to Aurora. The agreement has an initial term of one year, subject to automatic renewals of one year each and subject to termination by either party upon 60 days prior notice. All new loans must qualify for sale to Fannie Mae or Freddie Mac and meet other conditions set forth in the agreement. During the three month period ended June 30, 2017, MSRs on <font style="font-size: 10pt; font-family: 'Times New Roman';">35</font> loans with an aggregate UPB of approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">6.8</font> million had been received from Freedom Mortgage which generated approximately $5,200 in fees due to Freedom Mortgage. During the six month period ended June 30, 2017, MSRs on <font style="font-size: 10pt; font-family: 'Times New Roman';">75</font> loans with an aggregate UPB of approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">17.0</font> million had been received from Freedom Mortgage which generated approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">29,800</font> in fees due to Freedom Mortgage.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Sale of Excess MSRs</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On November 15, 2016, the Company completed the sale of the Excess MSRs in Excess MSR Pool 1 and the Excess MSRs in Excess MSR Pool 2014 to Freedom Mortgage. At the closing, the Company received cash proceeds of approximately $38.0 million, repaid $12.0 million of outstanding borrowings drawn on the Company&#8217;s $25 million term loan facility with NexBank SSB (the &#8220;NexBank term loan&#8221;), with a portion of the cash proceeds and released the Company&#8217;s security interests arising under Excess MSR Agreement 1 and the Flow and Bulk Excess MSR Purchase Agreement. The Company invested the remaining cash proceeds in Agency RMBS and expects to redeploy those proceeds into future MSR acquisitions.&#160; The Company completed the sale of the Excess MSRs in Excess MSR Pool 2 to Freedom Mortgage on February 1, 2017. In connection with the sale of those Excess MSRs, Freedom Mortgage transferred to Aurora Ginnie Mae MSRs with a weighted average servicing fee of approximately 30 basis points. The Ginnie Mae MSRs relate to a pool consisting primarily of newly originated Ginnie Mae conforming mortgage loans that had an aggregate UPB of approximately $4.5 billion as of January 31, 2017. At the closing of the sale of the Excess MSRs in Excess MSR Pool 2, the Company repaid the remaining outstanding borrowings drawn on the NexBank term loan with cash on hand.&#160; In addition, the acknowledgment agreement that the Company and Freedom Mortgage entered into with Ginnie Mae at the time of the IPO was terminated.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In connection with the sale transactions, Freedom Mortgage agreed to make 12 monthly yield maintenance payments to the Company beginning in December 2016 aggregating $3.0 million.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">See Note 5 for a discussion of the now terminated co-investments in Excess MSRs with Freedom Mortgage. See Note 10 for a discussion of the now terminated acknowledgment agreement among the Company, Freedom Mortgage and Ginnie Mae.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Other Transactions with Affiliated Entities</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In March 2017, the Company waived the forfeiture provisions of LTIP-OPs previously granted to Mr. Middleman that otherwise would have been triggered once he no longer was a member of the Board of Directors.</div></div> 69250000 0 12000000 1460000 9386000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-weight: bold; clear: both;">Repurchase Agreements and Interest Expense</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis.</div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 11 &#8211; Repurchase Agreements</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company had outstanding approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">1,197.4</font> million and $594.6 million of repurchase agreements as of June 30, 2017 and December 31, 2016, respectively. The Company&#8217;s obligations under these agreements had weighted average remaining maturities of&#160;<font style="font-size: 10pt; font-family: 'Times New Roman';">58</font> days and&#160;65 days as of June 30, 2017 and December 31, 2016, respectively. RMBS and cash have been pledged as collateral under these repurchase agreements (see Note 4).</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Repurchase Agreement Characteristics</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Repurchase Agreements</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Less than one month</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">366,298</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.13</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">One to three months</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">565,295</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.17</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Greater than three months</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">265,847</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.29</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,197,440</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1.19</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td></tr></table><div><br /></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Repurchase Agreements</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Less than one month</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">60,690</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.14</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">One to three months</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">456,502</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.91</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Greater than three months</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">77,423</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.90</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">594,615</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">0.93</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">There were <font style="font-size: 10pt; font-family: 'Times New Roman';">no overnight or demand</font> securities as of June 30, 2017 or December 31, 2016.</div></div> 22469000 19282000 1100000 5800000 20400000 13500000 1100000 0 22807000 12093000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Dividends Payable</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Because the Company is organized and operated as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly and special dividend payments. The Company accrues the dividend payable on the dividend declaration date, which causes an offsetting reduction in retained earnings as of the dividend declaration date.</div></div> 0.01 18.30 1073000 4502000 2166000 7849000 7849000 0 0 0 0 0 2166000 0 1073000 0 0 4502000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The components of the Company&#8217;s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 66%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,&#160;</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 66%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 66%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Current federal income tax expense</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">112</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 66%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Current state income tax expense</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">21</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 66%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Deferred federal income tax expense (benefit)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(134</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(522</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 66%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Deferred state income tax expense (benefit)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(58</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 66%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Income Tax Expense</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; font-weight: bold; text-align: left; width: 1%; background-color: #cceeff;">)&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(580</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company&#8217;s consolidated balance sheets, at June 30, 2017 and December 31, 2016, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands):</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,&#160;&#160;</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Income taxes payable</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Federal income taxes payable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">650</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">State and local income taxes payable</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">82</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Income taxes payable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">732</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">June 30, 2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">December 31, 2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Deferred tax (assets) liabilities</div></td><td valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Deferred tax - organizational expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(51</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(53</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Deferred tax - mortgage servicing rights</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(480</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">)</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(340</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Total net deferred tax (assets) liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(531</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><font style="font-weight: bold;">)</font></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(393</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables present certain information about the 2013 Plan as of the dates indicated:</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Equity Incentive Plan Information</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 18%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">LTIP-OP Units</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Shares of Common Stock</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Number of Securities</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Remaining Available For</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Future Issuance Under Equity </div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Issuance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Issued</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Forfeited</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Issued</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Forfeited</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Compensation Plans</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: center; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: center; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Price</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(140,350</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">916</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(28,503</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,155</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,335,218</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Number of securities issued or to be issued upon exercise</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; padding-bottom: 2px; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">March 31, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(140,350</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">916</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(28,503</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,155</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,335,218</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Number of securities issued or to be issued upon exercise</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(38,150</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(8,199</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(46,349</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">18.30</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(178,500</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">916</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(36,702</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,155</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,288,869</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Earnings per Share Information</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Numerator:</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Net income allocable to common stockholders and participating securities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,665</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">284</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,922</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,878</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Net income allocable to common stockholders</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,546</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">283</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,629</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,780</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Denominator:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Weighted average common shares outstanding</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,695,090</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,509,543</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,164,564</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,509,543</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Weighted average diluted shares outstanding</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,701,715</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,520,616</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,171,031</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,519,827</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Basic and Dilutive:</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Basic earnings per share</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(0.12</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.04</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.03</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(0.90</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Diluted earnings per share</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(0.12</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.04</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.03</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(0.90</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables present the Company&#8217;s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recurring Fair Value Measurements</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Fannie Mae</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">885,201</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">885,201</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Freddie Mac</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">425,256</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">425,256</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">CMOs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">67,977</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">67,977</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">RMBS total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,303</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaptions</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">727</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">76</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative assets total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,106</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Servicing related assets</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,385,540</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,459,995</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Derivative liabilities total</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,265</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Level 3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Fannie Mae</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">448,937</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">448,937</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Freddie Mac</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">198,103</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">198,103</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">CMOs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24,864</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24,864</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">RMBS total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,639</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaptions</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,482</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative assets total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,121</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Servicing related assets</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">681,025</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">742,288</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Derivative liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">339</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">75</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">280</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">280</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Derivative liabilities total</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total Liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">All of the Company&#8217;s RMBS are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income except for securities that are OTTI (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Summary of RMBS Assets</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 14%;"></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Original</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Unrealized</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Asset Type</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gains</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Fannie Mae</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">933,876</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">887,558</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,951</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5,308</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">885,201</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">123</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.80</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.60</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Freddie Mac</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">450,161</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">426,039</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,418</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,201</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">425,256</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">52</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.79</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.60</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">CMOs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">74,225</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">63,649</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,328</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">67,977</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">15</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">Unrated</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.04</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.33</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,458,262</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,377,246</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">8,697</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(7,509</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">190</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.85</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">25</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 14%;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: center;"></td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: center;"><strong>Original</strong><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Face<font style="font-size: 10pt; font-family: 'Times New Roman';"><br /></font> Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gross Unrealized</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"></td><td colspan="2" nowrap="nowrap" rowspan="2" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Number</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">of </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Securities</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td colspan="12" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Asset Type</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Book<font style="font-size: 10pt; font-family: 'Times New Roman';"><br /></font> Value</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Gains</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Losses</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rating</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Yield<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div></td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">RMBS</div></td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td colspan="3" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Fannie Mae</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">493,645</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">454,012</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,517</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,592</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">448,937</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">68</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.74</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.52</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Freddie Mac</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">222,469</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">200,207</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">587</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,691</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">198,103</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">27</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">(B)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.62</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.44</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 14%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">CMOs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">34,596</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24,086</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">857</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(79</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">24,864</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 5%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: center;">Unrated</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.78</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 6%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 14%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">750,710</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">678,305</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,961</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(9,362</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">104</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: top; width: 5%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.74</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3.53</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 6%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">24</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="text-align: justify;">&#160;</div><div style="text-align: justify;"><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(D)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average stated maturity.</div></td></tr></table></div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents information about the Company&#8217;s interest rate swap agreements as of the dates indicated (dollars in thousands):</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Notional</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amount</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Pay</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Receive Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; white-space: nowrap; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Years </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">to Maturity</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">781,650</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.78</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.18</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">415,850</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.46</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.90</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="clear: both;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents information about the Company&#8217;s interest rate swaption agreements as of the dates indicated (dollars in thousands):</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Notional</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Amount</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Pay </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; white-space: nowrap; border-bottom: #000000 2px solid; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Receive </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Rate<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" style="vertical-align: bottom; white-space: nowrap; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average Years </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">to Maturity</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.79</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: right;">LIBOR-BBA</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">%</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10.7</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">70,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.74</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: right;">LIBOR-BBA</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">%</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div style="clear: both;">&#160;</div><div style="text-align: justify;"><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Floats in accordance with LIBOR.</div></td></tr></table></div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Long-Term Borrowings Repayment Characteristics</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;"><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; padding-left: 24%; width: 13%;"></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2018</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2019</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2020</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2021</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: center; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid; font-weight: bold; text-align: center;">2022</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 13%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 9pt; text-indent: -9pt;">MSR Term Facility</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: top;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 13%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Borrowings under MSR Term Facility</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">11,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 13%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 9pt; text-indent: -9pt;">MSR Financing Facility</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; padding-bottom: 2px; width: 13%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Borrowings under MSR Financing Facility</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">295</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,222</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,289</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">15,500</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: top; width: 13%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,295</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,222</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,289</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">14,694</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">11,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">35,500</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div><div style="clear: both;">&#160;</div><div style="font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 24%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2018</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2019</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2020</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2021</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 24%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Term Loan</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 24%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Borrowings under Term Loan</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,841</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,005</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,040</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8,886</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 24%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">MSR Financing Facility</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 24%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Borrowings under Financing Facility</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">271</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,118</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,175</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">11,436</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">14,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 24%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,841</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">3,276</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">4,158</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,175</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">11,436</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">22,886</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):</div><div><br /></div><table align="left" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="14" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Computed income tax (benefit) expense at federal rate</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,321</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,610</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">State taxes, net of federal benefit, if applicable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(58</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Permanent differences in taxable income from GAAP pre-tax income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">REIT income not subject to tax</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,326</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(35.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)%</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,088</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(28.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)%</div></td></tr><tr><td valign="bottom" style="vertical-align: bottom; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">(Benefit from) Provision for Income Taxes/Effective Tax Rate<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><font style="font-weight: bold;">)</font>&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">0.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(580</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr></table><div style="clear: both;"><br /></div><div><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The provision for income taxes is recorded at the TRS level.</div></td></tr></table></div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Non-hedge derivatives</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">June 30, 2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">December 31, 2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of interest rate swaps</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">781,650</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">415,850</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of swaptions</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">70,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of TBAs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(17,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">50,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Notional amount of options on Treasury futures</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total notional amount</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">864,650</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">549,850</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Summary financial data with respect to the Company&#8217;s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; margin-left: 9pt; text-indent: -9pt;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Servicing </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Related Assets</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">RMBS</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">All Other</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Three Months Ended June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,002</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,002</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest expense</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">123</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,169</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,292</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(123</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,833</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,710</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing fee income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,493</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,493</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing costs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">991</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">991</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net servicing income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,502</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,502</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,507</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,507</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(11,014</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other operating expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,207</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,207</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">(Benefit from) provision for corporate business taxes</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,344</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,344</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net income (loss)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,216</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(674</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,207</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,665</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Three Months Ended June 30, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,085</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,050</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,135</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest expense</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">333</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,552</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,885</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,752</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,498</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,250</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing fee income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,574</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,574</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing costs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">501</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">501</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net servicing income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,073</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,073</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,225</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,292</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,517</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other operating expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">(Benefit from) provision for corporate business taxes</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net income (loss)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">590</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,206</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">284</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Six Months Ended June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">523</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">15,557</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,080</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest expense</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">237</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,486</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,723</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">286</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,071</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,357</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing fee income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,067</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,067</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing costs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,218</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,218</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net servicing income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,849</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,849</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">14,483</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,698</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,785</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other operating expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,074</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,074</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">(Benefit from) provision for corporate business taxes</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net income (loss)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">22,623</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,373</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,074</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,922</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Six Months Ended June 30, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,529</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,794</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,323</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest expense</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">673</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,869</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,542</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,856</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,925</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8,781</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing fee income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing costs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">903</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">903</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net servicing income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,166</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,166</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,764</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,631</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(15,395</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other operating expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,010</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,010</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">(Benefit from) provision for corporate business taxes</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(580</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(580</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net income (loss)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,162</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,706</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,010</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,878</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr></table><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Balance Sheet</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">&#160;</div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Investments</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,452,889</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other assets</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,768</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">30,523</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">33,447</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">69,738</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Total assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">80,223</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,408,957</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">33,447</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,522,627</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Debt</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35,500</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,197,440</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,232,940</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other liabilities</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,662</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,942</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,456</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">34,060</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Total liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">38,162</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,218,382</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,456</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,267,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Book value</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">42,061</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">190,575</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">22,991</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">255,627</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Investments</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">733,167</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other assets</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8,826</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">32,495</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">18,390</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">59,711</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Total assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">70,089</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">704,399</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">18,390</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">792,878</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Debt</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">22,886</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">594,615</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">617,501</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other liabilities</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,481</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,490</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,397</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">19,368</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Total liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">25,367</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">604,105</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,397</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">636,869</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Book value</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">44,722</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100,294</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,993</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">156,009</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: normal; text-align: left;">The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income (loss) for the periods indicated (dollars in thousands):</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Realized Gains (Losses) on Derivatives</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 15%;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 26%;">&#160;&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid; width: 15%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Non-Hedge Derivatives</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid; width: 26%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Consolidated Statements of Income (Loss) Location</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 15%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Interest rate swaps</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 26%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(436</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(398</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(595</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,748</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 15%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Swaptions</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 26%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(140</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(69</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(140</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 15%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">TBAs</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 26%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(402</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">56</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(514</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 15%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Treasury futures</div></td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 26%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(959</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">183</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,636</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">154</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 15%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 26%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(1,797</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(299</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(2,814</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(1,760</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table></div> 594615000 1197440000 1197440000 594615000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 3 &#8212; Segment Reporting</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) &#8220;All Other&#8221; which consists primarily of general and administrative expenses, including fees paid to the Company&#8217;s directors and management fees and reimbursements paid to the Manager pursuant to the Management Agreement (See Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments or general and administrative expenses.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Summary financial data with respect to the Company&#8217;s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; margin-left: 9pt; text-indent: -9pt;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Servicing </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Related Assets</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">RMBS</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">All Other</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Total</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Three Months Ended June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,002</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,002</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest expense</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">123</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,169</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,292</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(123</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,833</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,710</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing fee income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,493</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,493</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing costs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">991</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">991</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net servicing income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,502</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,502</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,507</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,507</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(11,014</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other operating expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,207</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,207</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">(Benefit from) provision for corporate business taxes</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,344</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,344</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net income (loss)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,216</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(674</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,207</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,665</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Three Months Ended June 30, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,085</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,050</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,135</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest expense</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">333</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,552</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,885</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,752</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,498</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,250</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing fee income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,574</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,574</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing costs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">501</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">501</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net servicing income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,073</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,073</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,225</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,292</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,517</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other operating expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">(Benefit from) provision for corporate business taxes</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net income (loss)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">590</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,206</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,512</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">284</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Six Months Ended June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">523</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">15,557</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">16,080</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest expense</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">237</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,486</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,723</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">286</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,071</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,357</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing fee income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,067</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,067</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing costs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,218</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,218</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net servicing income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,849</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,849</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">14,483</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,698</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,785</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other operating expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,074</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,074</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">(Benefit from) provision for corporate business taxes</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net income (loss)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">22,623</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,373</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,074</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,922</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 9pt; text-indent: -9pt;">Six Months Ended June 30, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,529</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,794</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,323</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Interest expense</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">673</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,869</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,542</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net interest income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,856</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,925</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8,781</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing fee income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Servicing costs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">903</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">903</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net servicing income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,166</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,166</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other income</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,764</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(7,631</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(15,395</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Other operating expenses</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,010</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,010</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">(Benefit from) provision for corporate business taxes</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(580</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(580</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 18pt; text-indent: -9pt;">Net income (loss)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,162</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,706</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,010</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,878</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr></table><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Balance Sheet</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">&#160;</div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Investments</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,378,434</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,452,889</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other assets</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,768</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">30,523</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">33,447</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">69,738</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Total assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">80,223</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,408,957</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">33,447</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,522,627</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Debt</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35,500</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,197,440</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,232,940</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other liabilities</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,662</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,942</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,456</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">34,060</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Total liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">38,162</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,218,382</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,456</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,267,000</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Book value</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">42,061</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">190,575</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">22,991</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">255,627</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Investments</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">671,904</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">733,167</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other assets</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8,826</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">32,495</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">18,390</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">59,711</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Total assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">70,089</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">704,399</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">18,390</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">792,878</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Debt</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">22,886</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">594,615</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">617,501</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Other liabilities</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,481</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">9,490</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,397</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">19,368</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 25.2pt; text-indent: -7.2pt;">Total liabilities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">25,367</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">604,105</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,397</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">636,869</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Book value</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">44,722</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100,294</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,993</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">156,009</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table></div> 10067000 5493000 1574000 3069000 0 10067000 0 0 0 3069000 0 5493000 0 0 1574000 0 61263000 74455000 61263000 0 0 74455000 0 61263000 0 74455000 281000 282000 P3Y 38150 0 530 7953 9495 8199 9465 3155 1590 2651 3165 2733 0 0 98934 0 0 0 0 80940000 0 0 52000 75000 80888000 0 0 75000 0 81100000 50000 50000 10000 50000 50000 5183199 9465 5175000 8199 0 255627000 156009000 75000 3133000 148332000 994000 152337000 -197000 12093000 -6393000 1166000 75000 1777000 148457000 22807000 1076000 75000 -11016000 229345000 11630000 148407000 150172000 127000 2182000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 6 &#8212; Equity and Earnings per Share</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Equity Incentive Plan</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">During 2013, the board of directors approved and the Company adopted the Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (&#8220;2013 Plan&#8221;). The 2013 Plan provides for the grant of options to purchase shares of the Company&#8217;s common stock, stock awards, stock appreciation rights, performance units, incentive awards and other equity-based awards, including long term incentive plan units (&#8220;LTIP-OP Units&#8221;) of the Operating Partnership.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following tables present certain information about the 2013 Plan as of the dates indicated:</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Equity Incentive Plan Information</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 18%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">LTIP-OP Units</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Shares of Common Stock</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Number of Securities</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Remaining Available For</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Future Issuance Under Equity </div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Issuance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 18%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Issued</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Forfeited</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Issued</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Forfeited</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Compensation Plans</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: center; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: center; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: center;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">Price</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">December 31, 2016</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(140,350</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">916</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(28,503</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,155</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,335,218</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Number of securities issued or to be issued upon exercise</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; padding-bottom: 2px; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">March 31, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(140,350</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">916</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(28,503</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,155</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,335,218</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 18%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Number of securities issued or to be issued upon exercise</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(38,150</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(8,199</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(46,349</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">18.30</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 18%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">June 30, 2017</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(178,500</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">916</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(36,702</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,155</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,288,869</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div style="clear: both;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">LTIP-OP Units are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership&#8217;s common units of limited partnership interest (&#8220;OP Units&#8221;) with respect to liquidating distributions; however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the Operating Partnership&#8217;s net income or loss. Under the terms of the LTIP-OP Units, the Operating Partnership will revalue its assets upon the occurrence of certain specified events, and any increase in the Operating Partnership&#8217;s valuation from the time of grant of the LTIP-OP Units until such event will be allocated first to the holders of LTIP-OP Units to equalize the capital accounts of such holders with the capital accounts of the holders of OP Units. Upon equalization of the capital accounts of the holders of LTIP-OP Units with the other holders of OP Units, the LTIP-OP Units will achieve full parity with OP Units for all purposes, including with respect to liquidating distributions. If such parity is reached, vested LTIP-OP Units may be converted into an equal number of OP Units at any time and, thereafter, enjoy all the rights of OP Units, including redemption rights. Each LTIP-OP Unit awarded is deemed equivalent to an award of one share of the Company&#8217;s common stock under the 2013 Plan and reduces the 2013 Plan&#8217;s share authorization for other awards on a one-for-one basis.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">An LTIP-OP Unit and a share of common stock of the Company have substantially the same economic characteristics in as much as they effectively share equally in the net income or loss of the Operating Partnership. Holders of LTIP-OP Units that have reached parity with OP Units have the right to redeem their LTIP-OP Units, subject to certain restrictions. The redemption is required to be satisfied, in cash, or at the Company&#8217;s option, the Company may purchase the OP Units for common stock, calculated as follows: one share of the Company&#8217;s common stock, or cash equal to the fair value of a share of the Company&#8217;s common stock at the time of redemption, for each LTIP-OP Unit. When an LTIP-OP Unit holder redeems an OP Unit (as described above), non-controlling interest in the Operating Partnership is reduced and the Company&#8217;s equity is increased.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">LTIP-OP Units vest ratably over the first three annual anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the closing price of the Company&#8217;s common stock on the applicable grant date in all other cases.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On January 27, 2014, the Company granted each of the independent directors pursuant to the 2013 Plan $10,000 (based on the closing price on the grant date) of common stock (530 shares each for a total of 1,590 shares), which were fully vested on the date of grant, and $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (2,651 shares each for a total of 7,953 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. The restricted shares are no longer subject to forfeiture and are vested.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On September 9, 2015, the Company granted each of the independent directors pursuant to the 2013 Plan $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (3,165 each for a total of 9,495 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. The shares are no longer subject to forfeiture and are vested.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On June 15, 2016, pursuant to the 2013 Plan, the Company granted each of the independent directors $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (3,155 shares each for a total of 9,465 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. This unrecognized share-based compensation expense is expected to be recognized ratably over the vesting period. The 3,155 shares granted to Mr. Kislak were forfeited when he resigned as a director of the Company on September 19, 2016. The forfeited shares have been returned to the shares available for future issuance under the 2013 Plan.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On June 14, 2017, the Company granted each of the independent directors pursuant to the 2013 Plan $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (2,733 each for a total of 8,199 shares). These shares are subject to forfeiture in certain circumstances prior to the one-year anniversary of the grant date.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As of June 30, 2017, a total of <font style="font-size: 10pt; font-family: 'Times New Roman';">98,934</font> LTIP-OP Units have vested. The Company recognized approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">146,000</font> and $135,000 in share-based compensation expense in the three month periods ended June 30, 2017 and 2016, respectively. The Company recognized approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">281,000</font> and $282,000 in share-based compensation expense in the six month periods ended June 30, 2017 and 2016, respectively. There was approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">1.3</font> million of total unrecognized share-based compensation expense as of June 30, 2017, related to non-vested LTIP-OP Units. This unrecognized share-based compensation expense is expected to be recognized ratably over the remaining vesting period of up to three years. The aggregate expense related to the LTIP-OP Unit grants is presented as &#8220;General and administrative expense&#8221; in the Company&#8217;s consolidated income statement.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As of June 30, 2017, <font style="font-size: 10pt; font-family: 'Times New Roman';">1,288,869</font> shares of common stock remain available for future issuance under the 2013 Plan.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Non-Controlling Interests in Operating Partnership</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Non-controlling interests in the Operating Partnership in the accompanying consolidated interim financial statements relate to LTIP-OP Units in the Operating Partnership and common units of limited partnership interest in the Operating Partnership issued upon conversion of LTIP-OP Units, in either case, held by parties other than the Company.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As of June 30, 2017, the non-controlling interest holders in the Operating Partnership owned <font style="font-size: 10pt; font-family: 'Times New Roman';">177,584</font> LTIP-OP Units, or approximately <font style="font-size: 10pt; font-family: 'Times New Roman';">1.4</font>% of the Operating Partnership. Pursuant to ASC 810,<font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;"> Consolidation</font>, changes in a parent&#8217;s ownership interest (and transactions with non-controlling interest unit holders in the Operating Partnership) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The carrying amount of the non-controlling interest will be adjusted to reflect the change in its ownership interest in the subsidiary, with the offset to equity attributable to the Company.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Earnings per Share</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company is required to present both basic and diluted earnings per share (&#8220;EPS&#8221;). Basic EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding during each period. Diluted EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period. In accordance with ASC 260,<font style="font-size: 10pt; font-family: 'Times New Roman'; font-style: italic;"> Earnings Per Share</font>, if there is a loss from continuing operations, the common stock equivalents are deemed anti-dilutive and earnings (loss) per share is calculated excluding the potential common shares.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Earnings per Share Information</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Numerator:</div></td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Net income allocable to common stockholders and participating securities</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,665</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">284</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,922</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,878</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Net income allocable to common stockholders</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,546</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">283</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">20,629</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,780</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Denominator:</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Weighted average common shares outstanding</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,695,090</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,509,543</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,164,564</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,509,543</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Weighted average diluted shares outstanding</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,701,715</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,520,616</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,171,031</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,519,827</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Basic and Dilutive:</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Basic earnings per share</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(0.12</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.04</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.03</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(0.90</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Diluted earnings per share</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(0.12</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.04</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.03</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(0.90</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr></table><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">There were no participating securities or equity instruments outstanding that were anti-dilutive for purposes of calculating earnings per share for the periods presented.</div></div> 253445000 154232000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 15 &#8211; Subsequent Events</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Events subsequent to June 30, 2017 were evaluated and no additional events were identified requiring further disclosure in the interim consolidated financial statements.</div></div> -3551000 -4633000 -1228000 -6426000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Use of Estimates</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of: the fair value of Excess MSRs and MSRs (collectively, &#8220;Servicing Related Assets&#8221;); RMBS and derivatives; credit losses, including the period of time during which the Company anticipates an increase in the fair values of RMBS sufficient to recover unrealized losses on those RMBS; and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the interim consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company&#8217;s estimates are inherently subjective in nature. Actual results could differ from the Company&#8217;s estimates, and the differences may be material.</div></div> 10171031 7520616 12701715 7519827 10164564 7509543 7509543 12695090 12830000 12297000 281000 282000 0 0 0 0 0 281000 0 0 0 282000 102000 0 0 169000 0 102000 0 0 169000 0 0 0 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 5 &#8212; Investments in Servicing Related Assets</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Excess MSRs</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In October 2013, the Company entered into an agreement (&#8220;Excess MSR Agreement 1&#8221;) with Freedom Mortgage to invest in Excess MSRs with Freedom Mortgage. Freedom Mortgage originated the mortgage servicing rights on the related pool of residential fixed rate Ginnie Mae-eligible FHA and VA mortgage loans with an aggregate UPB of approximately $10.0 billion (&#8220;Excess MSR Pool 1&#8221;). Freedom Mortgage was entitled to receive an initial weighted average total mortgage servicing amount of approximately 28 basis points (&#8220;bps&#8221;) on the performing UPB, as well as any ancillary income from Excess MSR Pool 1. Pursuant to Excess MSR Agreement 1, Freedom Mortgage performed all servicing functions and advancing functions related to Excess MSR Pool 1 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 8 bps. The remainder, or &#8220;excess mortgage servicing amount,&#8221; was initially equal to a weighted average of 20 bps.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Pursuant to Excess MSR Agreement 1, the Company acquired the right to receive 85% of the excess mortgage servicing amount on Excess MSR Pool 1 and, subject to certain limitations and pursuant to a recapture agreement (the &#8220;Excess MSR Pool 1&#8212;Recapture Agreement&#8221;), 85% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represented refinancings of loans in Excess MSR Pool l (which loans then become part of Excess MSR Pool 1) for approximately $60.6 million. Freedom Mortgage co-invested, pari passu with the Company, in 15% of the Excess MSRs. Freedom Mortgage, as servicer, also retained the ancillary income and the servicing obligations and liabilities.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In October 2013, the Company entered into an agreement (&#8220;Excess MSR Agreement 2&#8221;) with Freedom Mortgage to invest with Freedom Mortgage in another pool of Excess MSRs. Freedom Mortgage acquired the mortgage servicing rights from a third-party seller on a pool of residential Ginnie Mae-eligible VA hybrid adjustable rate mortgage loans with an outstanding aggregate principal balance of approximately $10.7 billion (&#8220;Excess MSR Pool 2&#8221;). Freedom Mortgage was entitled to receive an initial weighted average total mortgage servicing amount of 44 bps on the performing UPB, as well as any ancillary income from Excess MSR Pool 2. Pursuant to Excess MSR Agreement 2, Freedom Mortgage performed all servicing functions and advancing functions related to Excess MSR Pool 2 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 10 bps. Therefore, the remainder, or &#8220;excess mortgage servicing amount&#8221; was initially equal to a weighted average of 34 bps.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Pursuant to Excess MSR Agreement 2, the Company acquired the right to receive 50% of the excess mortgage servicing amount on Excess MSR Pool 2 and, subject to certain limitations and pursuant to a recapture agreement (the &#8220;Excess MSR Pool 2&#8212;Recapture Agreement&#8221;), 50% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represented refinancings of loans in Excess MSR Pool 2 (which loans then become part of Excess MSR Pool 2<font style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</font> for approximately $38.4 million. Freedom Mortgage co-invested, pari passu with the Company, in 50% of the Excess MSRs. Freedom Mortgage, as servicer, also retained the ancillary income and the servicing obligations and liabilities.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In October 2013, the Company also entered into a flow and bulk Excess MSR purchase agreement related to future purchases of Excess MSRs from Freedom Mortgage (the &#8220;Flow and Bulk Excess MSR Purchase Agreement&#8221;). On February 28, 2014, pursuant to the Flow and Bulk Excess MSR Purchase Agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the first quarter of 2014 with an UPB of approximately $76.8 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $567,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On March 31, 2014, pursuant to the Flow and Bulk Excess MSR Purchase Agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by a third party originator with an aggregate UPB of approximately $159.8 million. Freedom Mortgage purchased the MSRs on these mortgage loans from a third party on January 31, 2014. The Company acquired an approximate 71% interest in the Excess MSRs for approximately $946,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On June 30, 2014, pursuant to the Flow and Bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the second quarter of 2014 with an aggregate UPB of approximately $98.1 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $661,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The mortgage loans underlying the Excess MSRs purchased in 2014 are collectively referred to as &#8220;Excess MSR Pool 2014,&#8221; and the recapture provisions, which are identical, are collectively referred to as the &#8220;Excess MSR Pool 2014&#8212;Recapture Agreement.&#8221;</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On November 15, 2016, the Company agreed to sell all of its Excess MSRs back to Freedom Mortgage. Excess MSR Pool 1 and Excess MSR Pool 2014 were sold on November 15, 2016, and Excess MSR Pool 2 was sold on February 1, 2017. Each of the Excess MSR purchase agreements was terminated at the time the related pool(s) of Excess MSRs were sold. See Note 7.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">MSRs</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On May 29, 2015, in conjunction with the acquisition of Aurora, the Company acquired MSRs on conventional mortgage loans with an aggregate UPB of approximately $718.4 million.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On June 10, 2015, the Company agreed to transfer the direct servicing of the MSR portfolio to Freedom Mortgage pursuant to a subservicing agreement with Freedom Mortgage. The transfer occurred in September 2015. Pending the transfer, the former servicing employees of Aurora, now employees of Freedom Mortgage, directly serviced the portfolio for Aurora. The servicing was provided at cost pursuant to the Management Agreement with the Manager and the Services Agreement between the Manager and Freedom Mortgage. The cost for such services was included in servicing costs on the consolidated statements of income (loss).</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Aurora subsequently acquired from third parties four portfolios of MSRs on loans owned or securitized by Fannie Mae or Freddie Mac with an aggregate UPB of approximately $3.4 billion as of their respective closing dates.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora&#8217;s MSR portfolio as directed by Aurora. See Note 7.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">See Note 7 for a description of the Company&#8217;s acquisition of MSRs from Freedom Mortgage in connection with the sale by the Company of its Excess MSRs.</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following is a summary of the Company&#8217;s Servicing Related Assets (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Servicing Related Assets Summary</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; width: 28%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unpaid </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Principal </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Cost Basis</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(B)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Changes in </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recorded in </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Other Income </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Loss)</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">MSRs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Conventional</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,317,157</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">34,155</div></td><td style="vertical-align: top; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">31,491</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.83</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">23.4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,664</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 28%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Government</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,290,023</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">32,495</div></td><td style="vertical-align: top; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">42,964</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8.52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.36</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">28.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,469</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,607,180</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">66,650</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.56</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26.1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; width: 28%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unpaid </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Principal </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Cost Basis</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(B)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Changes in </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recorded in </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Other Income </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Loss)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Excess MSR Pool 2</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,053,142</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">19,754</div></td><td style="vertical-align: top; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(E)</sup></div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">28,526</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.96</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(493</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Excess MSR Pool 2 - Recapture Agreement</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,187</div></td><td style="vertical-align: top; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(E)</sup></div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">866</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">742</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 28%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Conventional MSRs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,262,181</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35,156</div></td><td style="vertical-align: top; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">31,871</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8.52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.81</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">23.7</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,285</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">9,315,323</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">56,097</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">25.4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(3,036</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table><div style="text-align: justify;">&#160;</div><div style="text-align: justify;"><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9).</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(D)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(E)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.</div></td></tr></table></div><div style="text-align: justify;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets:</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Geographic Concentration of Servicing Related Assets</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table align="center" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 60%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 45%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Percentage of Total Outstanding</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unpaid Principal Balance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">California</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">New Jersey</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Florida</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Texas</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Utah</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">All other</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">63.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 60%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 45%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Percentage of Total Outstanding</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unpaid Principal Balance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Texas</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">California</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Florida</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6.7</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Virginia</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">North Carolina</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Georgia</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">New Jersey</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.6</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Washington</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Colorado</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">All other</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">40.6</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Geographic concentrations of investments expose the Company to the risk of economic downturns within the relevant states. Any such downturn in a state where the Company holds significant investments could affect the underlying borrower&#8217;s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on the Company&#8217;s Servicing Related Assets.<br /></div></div> 0 1600000 10000000000 10700000000 3400000000 0.5 0.15 4 0.0008 0.001 60600000 38400000 0.0034 0.002 0.0044 0.0028 0.85 0.5 -3285000 10469000 -2664000 -3036000 742000 7805000 -493000 56097000 66650000 32495000 19754000 34155000 1187000 35156000 4290023000 7607180000 6053142000 9315323000 3262181000 3317157000 0 P28Y3M18D P23Y4M24D P26Y1M6D P25Y4M24D P26Y3M18D P0Y P23Y8M12D 866000 74455000 31871000 61263000 42964000 28526000 31491000 0.0381 0.0326 0.0383 0.0336 0.0356 0.0296 7805000 -7764000 0 0 -3285000 -3036000 7805000 7805000 249000 0 1094858000 979070000 169000 102000 1049585000 1697683000 39064000 24514000 0 7994000 15297000 34779000 0 0 6678000 0 0 35905000 -4507000 -3076000 7805000 -5308000 -2456000 -149000 0 0 2054000 1162000 1380000 690000 LIBOR-BBA% LIBOR-BBA% 0.0274 0.0178 0.0146 0.0279 P10Y8M12D P10Y10M24D P4Y9M18D P5Y3M18D 0.0090 0.0118 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Repurchase Agreement Characteristics</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Repurchase Agreements</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Less than one month</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">366,298</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.13</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">One to three months</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">565,295</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.17</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Greater than three months</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">265,847</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.29</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,197,440</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1.19</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td></tr></table><div><br /></div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Repurchase Agreements</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted Average Rate</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Less than one month</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">60,690</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1.14</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">One to three months</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">456,502</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.91</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 76%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Greater than three months</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">77,423</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">0.90</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 76%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total/Weighted Average</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">594,615</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">0.93</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td></tr></table></div> 555000 0 235000 0 333000 77000 0 0 0 5 0 0 4 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Due to Affiliates</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7.</div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Changes in Presentation</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Certain prior period amounts have been reclassified to conform to current period presentation.</div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Emerging Growth Company Status</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">On April 5, 2012, the Jumpstart Our Business Startups Act (the &#8220;JOBS Act&#8221;) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an &#8220;emerging growth company,&#8221; it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an &#8220;emerging growth company&#8221; or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated interim financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an &#8220;emerging growth company&#8221; or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated interim financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard.</div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="clear: both;"><div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Realized Gain (Loss) on Investments, Net</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands):</div></div><div>&#160;</div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 90%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on RMBS, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Gain on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">235</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">555</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Loss on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(77</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(333</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Net realized gain (loss) on RMBS</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(77</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">235</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(333</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">555</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,797</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(299</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,814</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,760</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on derivatives, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,633</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(1,228</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,551</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(6,426</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on Excess MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,678</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on Excess MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(149</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,456</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Unrealized gain (loss) on MSRs, net</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(4,507</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,076</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(5,308</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 42%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Realized gain (loss) on acquired assets, net</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 42%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(11,014</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(4,517</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,785</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(15,395</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table></div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Risks and Uncertainties</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company&#8217;s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower&#8217;s or derivative counterparty&#8217;s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company&#8217;s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost.</div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Investments in Excess MSRs</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As a result of the Company&#8217;s sale of its remaining Excess MSRs in February 2017, there were no Excess MSRs at June 30, 2017.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Classification</u></font> &#8211; The Company had elected the fair value option to record its investments in Excess MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, the Company recorded a valuation adjustment on its investments in Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. In determining the valuation of Excess MSRs in accordance with ASC 820, management used internally developed models that were primarily based on observable market-based inputs but which also included unobservable market data inputs. The Company&#8217;s application of ASC 820 guidance is discussed in further detail in Note 9.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font> &#8211; Excess MSRs were aggregated into pools as applicable. Each pool of Excess MSRs was accounted for in the aggregate. Interest income for Excess MSRs was accreted into interest income on an effective yield or &#8220;interest&#8221; method, based upon the expected excess mortgage servicing amount over the expected life of the underlying mortgages. Changes to expected cash flows resulted in a cumulative retrospective adjustment, which were recorded in the period in which the change in expected cash flows occurred. Under the retrospective method, the interest income recognized for a reporting period is measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis was calculated as the present value of estimated future cash flows using an effective yield, which was the yield that equated all past actual and estimated future cash flows to the initial investment. The difference between the fair value of Excess MSRs and their amortized cost basis was recorded on the consolidated statements of income statement as &#8220;Unrealized gain (loss) on investments in Excess MSRs.&#8221; Fair value was generally determined by discounting the expected future cash flows using discount rates that incorporated the market risks and liquidity premium specific to the Excess MSRs and, therefore, may have differed from their effective yields. The sale of investments in Excess MSRs was recognized upon settlement date. Approximately <font style="background-color: #ffffff;"><font style="font-size: 10pt; font-family: 'Times New Roman';">$1.3 </font></font>million and $5.6 million in Excess MSR cash flow was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within &#8220;Receivables and other assets&#8221; on the consolidated balance sheets.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">In connection with the sale of its Excess MSRs, the Company elected a settlement date accounting policy to account for the gain on sale from that transaction. For a further discussion of the Company&#8217;s sale of its Excess MSRs, see Note 7.</div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; font-style: italic; text-align: left;">Investments in MSRs</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Classification</u></font> &#8211; The Company&#8217;s MSRs represent the contractual right to service mortgage loans. The Company has elected the fair value option to record its investments in MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs as well as servicing fee income and servicing expenses are reported on the consolidated statements of income. In determining the valuation of MSRs in accordance with ASC 820, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs. The Company&#8217;s application of ASC 820 guidance is discussed in further detail in Note 9. For reporting purposes, conventional conforming loans are aggregated into one category.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;"><font style="font-size: 10pt; font-family: 'Times New Roman';"><u>Revenue Recognition</u></font><font style="font-size: 10pt; font-family: 'Times New Roman';"> &#8211; Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the &#8220;Receivables and other assets&#8221; line item on the consolidated balance sheets. </font>Approximately $<font style="font-size: 10pt; font-family: 'Times New Roman';">2.4</font> million and $1.4 million in reimbursable servicing advances were receivable at June 30, 2017 and December 31, 2016, respectively, and have been classified within &#8220;Receivables and other assets&#8221; on the consolidated balance sheets. Although advances on Federal National Mortgage Association (&#8220;Fannie Mae&#8221;) and Federal Home Loan Mortgage Corporation (&#8220;Freddie Mac&#8221;) MSRs made in accordance with the relevant guidelines are generally recoverable, the recoverability of similar advances made on Government National Mortgage Association (&#8220;Ginnie Mae&#8221;) MSRs may be limited under the rules and regulations of the U.S. Department of Housing and Urban Development, the Department of Veterans Affairs (the &#8220;VA&#8221;) and the Federal Housing Administration (&#8220;FHA&#8221;). Because the Ginnie Mae MSRs were only acquired in February 2017, and advances on the Fannie Mae and Freddie Mac MSRs are expected to be recoverable, the Company has determined that no reserves for unrecoverable advances are necessary at June 30, 2017 and December 31, 2016. For further discussion on the Company&#8217;s receivables and other assets, including the Company&#8217;s servicing advances, see Note 13.</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of comprehensive income. The difference between the fair value of MSRs and their amortized cost basis is recorded on the consolidated statements of income as &#8220;Unrealized <font style="font-size: 10pt; font-family: 'Times New Roman';">gain (loss) on investments in MSRs.&#8221; Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields.</font></div><div><br /></div><div>As a result of the Company&#8217;s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the applicable agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 31, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 2017. Four of the five loans purchased were sold during the six month period ended June 30, 2017, and the Company did not recognize any losses on such sales.</div></div> 260000 191000 382000 130000 17000000 6800000 0.003 0.015 P1Y P1Y P3Y P3Y P60D P1Y P12M 1251770000 608560000 608560000 1251770000 190575000 255627000 42061000 156009000 10993000 22991000 44722000 100294000 177584 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The following is a summary of the Company&#8217;s Servicing Related Assets (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Servicing Related Assets Summary</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">&#160;</div><table border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; width: 28%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unpaid </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Principal </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Cost Basis</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(B)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Changes in </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recorded in </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Other Income </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Loss)</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">MSRs</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td valign="bottom" style="vertical-align: middle; width: 1%;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">&#160;</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: middle;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Conventional</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,317,157</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">34,155</div></td><td style="vertical-align: top; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">31,491</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.83</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">23.4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(2,664</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 28%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 16.2pt; text-indent: -7.2pt;">Government</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,290,023</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">32,495</div></td><td style="vertical-align: top; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">42,964</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8.52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.36</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">28.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10,469</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,607,180</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">66,650</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">74,455</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.56</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26.1</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">7,805</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table><div>&#160;</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: bottom; width: 28%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unpaid </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Principal </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Balance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Cost Basis</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Carrying </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Value<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(A)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Coupon</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Weighted </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Average </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Maturity </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Years)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(B)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Changes in </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Fair Value </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Recorded in </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Other Income </div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">(Loss)<sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(D)</sup></div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Excess MSR Pool 2</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6,053,142</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">19,754</div></td><td style="vertical-align: top; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(E)</sup></div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">28,526</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2.96</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">26.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(493</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Excess MSR Pool 2 - Recapture Agreement</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,187</div></td><td style="vertical-align: top; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(E)</sup></div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">866</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #ffffff;">&#160;</td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">-</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">742</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 28%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Conventional MSRs</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,262,181</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">35,156</div></td><td style="vertical-align: top; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';"><sup style="font-size: smaller; vertical-align: text-top; line-height: 1;">(C)</sup></div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">31,871</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 8.52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.81</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">23.7</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">(3,285</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">)</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 28%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">9,315,323</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">56,097</div></td><td valign="bottom" style="vertical-align: middle; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">61,263</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 8.52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3.26</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">%</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">25.4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">(3,036</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">)</div></td></tr></table><div style="text-align: justify;">&#160;</div><div style="text-align: justify;"><hr align="left" noshade="noshade" style="border-top: medium none; height: 2px; border-right: medium none; border-bottom: medium none; color: #000000; text-align: left; margin-left: 0px; border-left: medium none; width: 15%; background-color: #000000; margin-right: auto;" /></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(A)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9).</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(B)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(C)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(D)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool.</div></td></tr></table></div><div style="text-align: justify;"><table cellpadding="0" cellspacing="0" class="DSPFListTable" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td style="font-size: 10pt; font-family: 'Times New Roman'; vertical-align: top; width: 27pt; align: right;">(E)</td><td style="vertical-align: top; text-align: justify; width: auto;"><div style="font-size: 10pt; font-family: 'Times New Roman';">The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.</div></td></tr></table></div></div> <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets:</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Geographic Concentration of Servicing Related Assets</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of June 30, 2017</div><div><br /></div><table align="center" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 60%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 45%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Percentage of Total Outstanding</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unpaid Principal Balance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">California</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">New Jersey</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">7.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Florida</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Texas</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.4</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Utah</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.3</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">All other</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">63.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">As of December 31, 2016</div><div><br /></div><table align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 60%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 45%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Percentage of Total Outstanding</div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Unpaid Principal Balance</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Texas</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">10.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">California</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">8.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Florida</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">6.7</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Virginia</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.9</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">North Carolina</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Georgia</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.8</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">New Jersey</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.6</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Washington</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.5</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Colorado</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5.2</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 45%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">All other</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 12%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">40.6</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 45%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 12%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">100.0</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">%</div></td></tr></table></div> 595309000 339000 3265000 1197440000 75000 594615000 1200705000 280000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company&#8217;s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. &#8220;Due to affiliates&#8221; consisted of the following for the periods indicated (dollars in thousands):</div><div style="text-align: left;"><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Management Fee to Affiliate</div><div><br /></div><table cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 100%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Three Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="6" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Six Months Ended June 30,</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Management fees</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">971</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">560</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,672</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,120</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 52%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Compensation reimbursement</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">191</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">130</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">382</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">260</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 52%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,162</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">690</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">2,054</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold;">1,380</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr></table></div> 0.004 0.014 0.009 0.052 0.018 0.008 0.119 0.013 0.038 0.131 0.395 0.083 71000 98000 64000 229000 2013-10-09 -480000 -340000 0 0 650000 0 0 82000 -53000 -51000 0 732000 0.000 0.000 P1M P10Y P10Y P1Y P3Y 6000000 0 0 0 1 1 1 1 1 1 0 1 31871000 19761000 43482000 29392000 97803000 61263000 33054000 1506000 74455000 0 0 74455000 0 0 3512000 0 2620000 0 0 2620000 3512000 0 10425000 10425000 227000 0 0 476000 249000 0 -16179000 0 0 0 -35800000 -16179000 -35800000 784000 0 784000 -6513000 1021000 0 0 -5492000 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left;">Note 13 &#8211; Receivables and Other Assets</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The assets comprising &#8220;Receivables and other assets&#8221; as of June 30, 2017 and December 31, 2016 are summarized in the following table (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Receivables and Other Assets</div><div><br /></div><table align="center" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 80%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 56%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">June 30, 2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">December 31, 2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Excess servicing income receivable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,250</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,598</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Servicing advances</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,402</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,432</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Interest receivable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,273</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Repurchased loans held for sale</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,570</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,570</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 56%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Other receivables</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,335</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,628</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total other assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,830</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,297</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The Company only records as an asset those servicing advances that the Company deems recoverable.</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">As a result of the Company&#8217;s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 3I, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 20 17. Four of the five loans purchased were sold during the six month period ended June 30,2017, and the Company did not recognize any losses on such sales. The remaining repurchased loan is considered to be a Level 2 Asset and is expected to be sold in 2017.</div></div> 1570000 1570000 1432000 2402000 1250000 5598000 0.406 0.058 0.067 0.054 1.000 0.056 0.062 1.000 0.089 0.632 0.052 0.055 0.058 0.059 0.053 0.100 0.120 0.079 <div style="font-family: 'Times New Roman'; font-size: 10pt;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left;">The assets comprising &#8220;Receivables and other assets&#8221; as of June 30, 2017 and December 31, 2016 are summarized in the following table (dollars in thousands):</div><div><br /></div><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">Receivables and Other Assets</div><div><br /></div><table align="center" border="0" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman'; width: 80%;"><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 56%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">June 30, 2017</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%;">&#160;</td><td colspan="2" nowrap="nowrap" valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: center;">December 31, 2016</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Excess servicing income receivable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,250</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">5,598</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Servicing advances</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,402</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,432</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Interest receivable</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">4,273</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">2,069</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Repurchased loans held for sale</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,570</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,570</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; padding-bottom: 2px; width: 56%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Other receivables</div></td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">3,335</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; border-bottom: #000000 2px solid; text-align: right; width: 9%; background-color: #cceeff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">1,628</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; padding-bottom: 2px; text-align: left; width: 1%; background-color: #cceeff;">&#160;</td></tr><tr><td valign="bottom" style="vertical-align: middle; width: 56%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman'; font-weight: bold; text-align: left; margin-left: 7.2pt; text-indent: -7.2pt;">Total other assets</div></td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,830</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; width: 1%; background-color: #ffffff;">&#160;</td><td valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">$</div></td><td valign="bottom" style="vertical-align: bottom; text-align: right; width: 9%; background-color: #ffffff;"><div style="font-size: 10pt; font-family: 'Times New Roman';">12,297</div></td><td nowrap="nowrap" valign="bottom" style="vertical-align: bottom; text-align: left; width: 1%; background-color: #ffffff;">&#160;</td></tr></table></div> P58D P65D 0.0090 0.0129 0.0091 0.0117 1197400000 594600000 0 0 0.0113 0.0114 0.0093 0.0119 60690000 366298000 456502000 565295000 77423000 265847000 916 916 916 3155 3155 3155 28503 36702 28503 1 140350 140350 178500 P1Y P1Y P1Y P1Y 0 46349 P24Y P25Y P26Y P26Y P26Y P12Y P12Y P24Y P8Y P8Y P26Y P24Y P29Y P25Y P25Y P25Y P25Y P0Y 0.0424 0.0344 0.0360 0.0533 0.0368 0.0352 0.0360 0.0353 0.0409 0.0394 0.0352 0.0367 0.0340 0.0348 0.0348 0.0329 0.0340 0 0.0385 0.0504 0.0362 0.0380 0.0478 0.0374 0.0379 0.0374 0.0385 0.0427 0.0373 0.0418 0.0365 0.0365 0.0350 0.0369 0.0369 0 Unrated Unrated 52 27 9 123 68 190 104 15 3 187 3 101 1 78 68 77 68 0 See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities. The provision for income taxes is recorded at the TRS level. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates. Includes the recapture agreement for each respective pool. de minimis ($95.00 rounds to $0.00). The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool. MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns. The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired. The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment. Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9). Floats in accordance with LIBOR. Represents changes due to realization of expected cash flows. Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company's repurchase of the underlying collateral. The weighted average stated maturity. The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, the Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity. The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities. The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated. EX-101.SCH 7 chmi-20170630.xsd XBRL TAXONOMY EXTENSION SCHEMA 000100 - Document - Document and Entity Information link:presentationLink link:calculationLink link:definitionLink 010000 - Statement - Consolidated Balance Sheets (Unaudited) link:presentationLink link:calculationLink link:definitionLink 010100 - Statement - Consolidated Balance Sheets (Unaudited) (Parenthetical) link:presentationLink link:calculationLink link:definitionLink 020000 - Statement - Consolidated Statements of Income (Loss) (Unaudited) link:presentationLink link:calculationLink link:definitionLink 030000 - Statement - Consolidated Statements of Comprehensive Income (Loss) (Unaudited) link:presentationLink link:calculationLink link:definitionLink 040000 - Statement - Consolidated Statements of Changes in Stockholders' Equity (Unaudited) link:presentationLink link:calculationLink link:definitionLink 040100 - Statement - Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) link:presentationLink link:calculationLink link:definitionLink 050000 - Statement - Consolidated Statements of Cash Flows (Unaudited) link:presentationLink link:calculationLink link:definitionLink 060100 - Disclosure - Organization and Operations link:presentationLink link:calculationLink link:definitionLink 060200 - Disclosure - Basis of Presentation and Significant Accounting Policies link:presentationLink link:calculationLink link:definitionLink 060300 - Disclosure - Segment Reporting link:presentationLink link:calculationLink link:definitionLink 060400 - Disclosure - Investments in RMBS link:presentationLink link:calculationLink link:definitionLink 060500 - Disclosure - Investments in Servicing Related Assets link:presentationLink link:calculationLink link:definitionLink 060600 - Disclosure - Equity and Earnings per Share link:presentationLink link:calculationLink link:definitionLink 060700 - Disclosure - Transactions with Affiliates and Affiliated Entities link:presentationLink link:calculationLink link:definitionLink 060800 - Disclosure - Derivative Instruments link:presentationLink link:calculationLink link:definitionLink 060900 - Disclosure - Fair Value link:presentationLink link:calculationLink link:definitionLink 061000 - Disclosure - Commitments and Contingencies link:presentationLink link:calculationLink link:definitionLink 061100 - Disclosure - Repurchase Agreements link:presentationLink link:calculationLink link:definitionLink 061200 - Disclosure - Notes Payable link:presentationLink link:calculationLink link:definitionLink 061300 - Disclosure - Receivables and Other Assets link:presentationLink link:calculationLink link:definitionLink 061400 - Disclosure - Income Taxes link:presentationLink link:calculationLink link:definitionLink 061500 - Disclosure - Subsequent Events link:presentationLink link:calculationLink link:definitionLink 070200 - Disclosure - Basis of Presentation and Significant Accounting Policies (Policies) link:presentationLink link:calculationLink link:definitionLink 080200 - Disclosure - Basis of Presentation and Significant Accounting Policies (Tables) link:presentationLink link:calculationLink link:definitionLink 080300 - Disclosure - Segment Reporting (Tables) link:presentationLink link:calculationLink link:definitionLink 080400 - Disclosure - Investments in RMBS (Tables) link:presentationLink link:calculationLink link:definitionLink 080500 - Disclosure - Investments in Servicing Related Assets (Tables) link:presentationLink link:calculationLink link:definitionLink 080600 - Disclosure - Equity and Earnings per Share (Tables) link:presentationLink link:calculationLink link:definitionLink 080700 - Disclosure - Transactions with Affiliates and Affiliated Entities (Tables) link:presentationLink link:calculationLink link:definitionLink 080800 - Disclosure - Derivative Instruments (Tables) link:presentationLink link:calculationLink link:definitionLink 080900 - Disclosure - Fair Value (Tables) link:presentationLink link:calculationLink link:definitionLink 081100 - Disclosure - Repurchase Agreements (Tables) link:presentationLink link:calculationLink link:definitionLink 081200 - Disclosure - Notes Payable (Tables) link:presentationLink link:calculationLink link:definitionLink 081300 - Disclosure - Receivables and Other Assets (Tables) link:presentationLink link:calculationLink link:definitionLink 081400 - Disclosure - Income Taxes (Tables) link:presentationLink link:calculationLink link:definitionLink 090100 - Disclosure - Organization and Operations (Details) link:presentationLink link:calculationLink link:definitionLink 090200 - Disclosure - Basis of Presentation and Significant Accounting Policies (Details) link:presentationLink link:calculationLink link:definitionLink 090300 - Disclosure - Segment Reporting (Details) link:presentationLink link:calculationLink link:definitionLink 090400 - Disclosure - Investments in RMBS (Details) link:presentationLink link:calculationLink link:definitionLink 090402 - Disclosure - Investments in RMBS, Assets by Maturity (Details) link:presentationLink link:calculationLink link:definitionLink 090404 - Disclosure - Investments in RMBS, Unrealized Loss Positions (Details) link:presentationLink link:calculationLink link:definitionLink 090500 - Disclosure - Investments in Servicing Related Assets (Details) link:presentationLink link:calculationLink link:definitionLink 090502 - Disclosure - Investments in Servicing Related Assets, Summary (Details) link:presentationLink link:calculationLink link:definitionLink 090504 - Disclosure - Investments in Servicing Related Assets, Geographic Concentration (Details) link:presentationLink link:calculationLink link:definitionLink 090600 - Disclosure - Equity and Earnings per Share, Equity (Details) link:presentationLink link:calculationLink link:definitionLink 090602 - Disclosure - Equity and Earnings per Share, Non-Controlling Interests (Details) link:presentationLink link:calculationLink link:definitionLink 090604 - Disclosure - Equity and Earnings per Share, Earnings per Share (Details) link:presentationLink link:calculationLink link:definitionLink 090700 - Disclosure - Transactions with Affiliates and Affiliated Entities (Details) link:presentationLink link:calculationLink link:definitionLink 090800 - Disclosure - Derivative Instruments, Summary of Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) link:presentationLink link:calculationLink link:definitionLink 090802 - Disclosure - Derivative Instruments, Summary of Realized Gain (Loss) Related to Derivatives (Details) link:presentationLink link:calculationLink link:definitionLink 090804 - Disclosure - Derivative Instruments, Offsetting Assets (Details) link:presentationLink link:calculationLink link:definitionLink 090806 - Disclosure - Derivative Instruments, Offsetting Liabilities (Details) link:presentationLink link:calculationLink link:definitionLink 090900 - Disclosure - Fair Value, Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) link:presentationLink link:calculationLink link:definitionLink 090902 - Disclosure - Fair Value, Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) link:presentationLink link:calculationLink link:definitionLink 090904 - Disclosure - Fair Value, Significant Unobservable Inputs Used in Fair Value Measurement (Details) link:presentationLink link:calculationLink link:definitionLink 091000 - Disclosure - Commitments and Contingencies (Details) link:presentationLink link:calculationLink link:definitionLink 091100 - Disclosure - Repurchase Agreements (Details) link:presentationLink link:calculationLink link:definitionLink 091200 - Disclosure - Notes Payable (Details) link:presentationLink link:calculationLink link:definitionLink 091300 - Disclosure - Receivables and Other Assets (Details) link:presentationLink link:calculationLink link:definitionLink 091400 - Disclosure - Income Taxes (Details) link:presentationLink link:calculationLink link:definitionLink 091402 - Disclosure - Income Taxes (Details) Calc 2 link:presentationLink link:calculationLink link:definitionLink EX-101.CAL 8 chmi-20170630_cal.xml XBRL TAXONOMY EXTENSION CALCULATION LINKBASE EX-101.DEF 9 chmi-20170630_def.xml XBRL TAXONOMY EXTENSION DEFINITION LINKBASE EX-101.LAB 10 chmi-20170630_lab.xml XBRL TAXONOMY EXTENSION LABEL LINKBASE Amendment Flag Current Fiscal Year End Date Document Period End Date Entity Well-known Seasoned Issuer Entity Voluntary Filers Entity Current Reporting Status Entity Filer Category Entity Registrant Name Entity Central Index Key Entity Common Stock, Shares Outstanding Document Fiscal Year Focus Document Fiscal Period Focus Document Type Investment [Table] Investment [Table] Investment [Line Items] Total notional amount Derivative, Notional Amount Award Date [Axis] Award Date [Domain] Award Type [Axis] Award Type [Axis] Basis of Presentation and Significant Accounting Policies [Abstract] Payables for unsettled trades Other receivables Amortization of premiums on investment securities Accretion (Amortization) of Discounts and Premiums, Investments Accrued expenses and other liabilities Accrued Liabilities and Other Liabilities Income receivable Accrued Investment Income Receivable Accumulated Other Comprehensive Income (Loss) [Member] AOCI Attributable to Parent [Member] Accumulated other comprehensive income (loss) Accumulated Other Comprehensive Income (Loss), Net of Tax Additional paid-in capital Additional Paid in Capital Additional Paid-in Capital [Member] Additional Paid-in Capital [Member] Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Adjustments to Reconcile Net Income (Loss) to Cash Provided by (Used in) Operating Activities [Abstract] Federal Home Loan Bank advances Advances from Federal Home Loan Banks All Other [Member] Other Segments [Member] Share-based compensation expense recognized Allocated Share-based Compensation Expense Anti-dilutive securities (in shares) Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount Assets [Abstract] Assets, Fair Value Disclosure [Abstract] Total Assets Assets Assets Assets [Abstract] Fair Value Total Assets Assets, Fair Value Disclosure RMBS, available-for-sale (including pledged assets of $1,251,770 and $608,560, respectively) Carrying value Available-for-sale Securities Gross unrealized gains Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax Gross unrealized losses Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax Book value Available-for-sale Securities, Amortized Cost Basis Summary of RMBS Securities in an Unrealized Loss Position Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block] Balance Sheet Location [Axis] Balance Sheet Location [Axis] Balance Sheet Location [Domain] Balance Sheet Location [Domain] Basis of Presentation and Significant Accounting Policies Basis of Presentation and Significant Accounting Policies [Text Block] Basis of Accounting Basis of Accounting, Policy [Policy Text Block] Repurchase Agreements [Abstract] Business Acquisition [Axis] Business Acquisition [Axis] Business Acquisition, Acquiree [Domain] Business Acquisition, Acquiree [Domain] Carrying Value [Member] Cash and cash equivalents Cash and Cash Equivalents, Beginning of Period Cash and Cash Equivalents, End of Period Cash and Cash Equivalents, at Carrying Value Cash and Cash Equivalents and Restricted Cash Cash and Cash Equivalents, Restricted Cash and Cash Equivalents, Policy [Policy Text Block] Net Increase (Decrease) in Cash and Cash Equivalents Cash and Cash Equivalents, Period Increase (Decrease) Cash and Cash Equivalents and Restricted Cash [Abstract] Cash and Cash Equivalents [Abstract] CMOs [Member] Collateralized Mortgage Obligations [Member] Commitments and Contingencies Commitments and Contingencies Disclosure [Text Block] Commitments and Contingencies [Abstract] Common dividends declared (in dollars per share) Common Stock, Dividends, Per Share, Declared Common Stock [Member] Common Stock [Member] Common stock, shares issued (in shares) Common Stock, Shares, Issued Common stock, shares authorized (in shares) Common Stock, Shares Authorized Common stock, $0.01 par value, 500,000,000 shares authorized and 12,708,547 shares issued and outstanding as of June 30, 2017 and 500,000,000 shares authorized and 7,525,348 shares issued and outstanding as of December, 31, 2016 Common Stock, Value, Issued Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares) Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares) Common Stock, Capital Shares Reserved for Future Issuance Common stock, par value (in dollars per share) Common stock, par value (in dollars per share) Beginning balance (in shares) Ending balance (in shares) Common stock, shares outstanding (in shares) Common Stock, Shares, Outstanding Deferred tax (assets) liabilities [Abstract] Components of Deferred Tax Assets and Liabilities [Abstract] Comprehensive income (loss) attributable to common stockholders Comprehensive Income (Loss), Net of Tax, Attributable to Parent Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership Comprehensive Income (Loss), Net of Tax, Attributable to Noncontrolling Interest Comprehensive income (loss) Comprehensive Income (Loss), Net of Tax, Including Portion Attributable to Noncontrolling Interest Comprehensive Income Comprehensive Income, Policy [Policy Text Block] Consolidation Items [Axis] Consolidation Items [Domain] Servicing costs Cost of Services Credit Facility [Axis] Credit Facility [Axis] Credit Facility [Domain] Credit Facility [Domain] Current state income tax expense Current State and Local Tax Expense (Benefit) Current federal income tax expense Current Federal Tax Expense (Benefit) Debt Instrument [Line Items] Debt Instrument [Line Items] Notes Payable Debt Disclosure [Text Block] Notes Payable [Abstract] Debt Debt and Capital Lease Obligations Debt instrument term Schedule of Long-term Debt Instruments [Table] Schedule of Long-term Debt Instruments [Table] Debt Instrument [Axis] Debt Instrument [Axis] Debt Instrument, Name [Domain] Debt Instrument, Name [Domain] Interest rate on loans payable Debt Instrument, Interest Rate, Stated Percentage Debt instrument maturity date Debt Instrument, Maturity Date Deferred federal income tax expense (benefit) Deferred Federal Income Tax Expense (Benefit) Deferred state income tax expense (benefit) Deferred State and Local Income Tax Expense (Benefit) Total net deferred tax (assets) liabilities Deferred Tax Liabilities, Net Valuation allowance Deferred Tax Assets, Valuation Allowance Derivative Instrument [Axis] Derivative Instrument [Axis] Derivative Instruments Derivative Instruments and Hedging Activities Disclosure [Text Block] Gross amounts offset in the consolidated balance sheet Derivative Asset, Fair Value, Gross Liability Derivative [Line Items] Derivative [Line Items] Gross amounts not offset in the consolidated balance sheet in financial instruments Derivative, Collateral, Obligation to Return Securities Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) Derivative, Collateral, Right to Reclaim Cash Derivatives [Member] Derivative Instruments [Member] Derivative [Table] Derivative [Table] Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) Derivative, Collateral, Obligation to Return Cash Gross amounts offset in the consolidated balance sheet Derivative Liability, Fair Value, Gross Asset Derivative assets Net amounts of assets presented in the consolidated balance sheet Derivative assets total Derivative Asset Gross amounts not offset in the consolidated balance sheet in financial instruments Derivative, Collateral, Right to Reclaim Securities Derivative Instruments [Abstract] Derivative liabilities Derivative liabilities total Derivative Liability Gross amounts of recognized assets or liabilities Derivative Asset, Fair Value, Gross Asset Gross amounts of recognized assets or liabilities Derivative Liability, Fair Value, Gross Liability Net amount Derivative Liability, Fair Value, Amount Offset Against Collateral Net amount Derivative Asset, Fair Value, Amount Offset Against Collateral Derivative Instruments, Gain (Loss) [Line Items] Derivative Instruments, Gain (Loss) [Line Items] Derivative Contract [Domain] Derivative Contract [Domain] Derivative Instruments, Gain (Loss) [Table] Derivative Instruments, Gain (Loss) [Table] Derivatives and Hedging Activities Derivatives, Methods of Accounting, Hedging Derivatives [Policy Text Block] Directors [Member] Director [Member] Dividends payable Dividends Payable Common dividends declared Dividends, Common Stock, Cash Yield maintenance payment Due from Related Parties Due to affiliates Due to Affiliate Basic and Dilutive [Abstract] Earnings Per Share, Basic and Diluted [Abstract] Basic (in dollars per share) Basic earnings per share (in dollars per share) Earnings Per Share, Basic Diluted (in dollars per share) Diluted earnings per share (in dollars per share) Earnings Per Share, Diluted Net income (Loss) Per Share of Common Stock Earnings Per Share [Abstract] Computed income tax (benefit) expense at federal rate Effective Income Tax Rate Reconciliation, at Federal Statutory Income Tax Rate, Percent Effective Income Tax Rate Reconciliation, Percent [Abstract] State taxes, net of federal benefit, if applicable Effective Income Tax Rate Reconciliation, State and Local Income Taxes, Percent REIT income not subject to tax Effective Income Tax Rate Reconciliation, Tax Exempt Income, Percent (Benefit from) Provision for Income Taxes/Effective Tax Rate Effective Income Tax Rate Reconciliation, Percent Period of recognition of unrecognized share-based compensation expense Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Period for Recognition Unrecognized share-based compensation expense Employee Service Share-based Compensation, Nonvested Awards, Compensation Not yet Recognized, Share-based Awards Other than Options Equity and Earnings per Share [Abstract] Equity Component [Domain] Equity Component [Domain] Investments in Servicing Related Assets at fair value (including pledged assets of $74,455 and $61,263, respectively) Equity Method Investments Asset Class [Axis] Asset Class [Axis] Significant Unobservable Inputs Used in Fair Value Measurement Fair Value Inputs, Assets, Quantitative Information [Table Text Block] Fair Value Inputs, Assets, Quantitative Information [Line Items] Fair Value Inputs, Assets, Quantitative Information [Line Items] Fair Value, Hierarchy [Axis] Fair Value, Hierarchy [Axis] Discount rate Fair Value Inputs, Discount Rate Measurement Frequency [Axis] Measurement Frequency [Axis] Fair Value [Abstract] Fair Value Inputs, Assets, Quantitative Information [Table] Fair Value Inputs, Assets, Quantitative Information [Table] Measurement Basis [Axis] Measurement Basis [Axis] Constant prepayment speed Fair Value Inputs, Prepayment Rate Asset Class [Domain] Asset Class [Domain] Purchases, sales and principal paydowns [Abstract] Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases, (Sales), Issuances, (Settlements) [Abstract] Fair Value Measurements, Recurring and Nonrecurring [Table] Fair Value Measurements, Recurring and Nonrecurring [Table] Fair Value, Measurement Frequency [Domain] Fair Value, Measurement Frequency [Domain] Fair Value, Measurements, Recurring [Member] Fair Value, Measurements, Recurring [Member] Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] Fair Value Hierarchy [Domain] Fair Value Hierarchy [Domain] Fair Value Fair Value Disclosures [Text Block] Sales Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] Fair Value Measurement [Domain] Fair Value Measurement [Domain] Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table] Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table] Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] Level 3 [Member] Fair Value, Inputs, Level 3 [Member] Level 1 [Member] Level 2 [Member] Fair Value, Inputs, Level 2 [Member] Purchases, sales and principal paydowns Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases, (Sales), Issuances, (Settlements) Fannie Mae [Member] Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] Freddie Mac [Member] Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] Total Liabilities Financial Liabilities Fair Value Disclosure Financial Instrument [Axis] Financial Instrument [Axis] Notional Amount of Treasury Futures [Member] Treasury Futures [Member] Future [Member] Realized (gain) loss on RMBS, net Realized gain (loss) on RMBS, net Net realized gain (loss) on RMBS Gain (Loss) on Sales of Mortgage Backed Securities (MBS) Realized (gain) loss on derivatives, net Realized gain (loss) on derivatives, net Gain/(loss) on derivatives Gain (Loss) on Sale of Derivatives Total Gain (Loss) on Investments Realized gain (loss) on RMBS, net [Abstract] Gain (Loss) on Investments [Abstract] Summary of Gains and Losses on Sale of Specified Categories of Investments Gain (Loss) on Investments [Table Text Block] General and administrative expense General and Administrative Expense Total Income (Loss) Gross Profit Hedging Designation [Axis] Hedging Designation [Axis] Hedging Designation [Domain] Hedging Designation [Domain] Income Taxes [Abstract] Income Statement Location [Axis] Income Statement Location [Axis] Income Statement Location [Domain] Income Statement Location [Domain] Income (Loss) Before Income Taxes Income (Loss) from Continuing Operations before Income Taxes, Noncontrolling Interest Income Taxes Income Tax Disclosure [Text Block] (Benefit from) provision for corporate business taxes Total Income Tax Expense (Benefit from) provision for corporate business taxes Income Tax Expense (Benefit) Consolidated Statements of Income (Loss) (Unaudited) [Abstract] Computed income tax (benefit) expense at federal rate Effective Income Tax Rate Reconciliation at Federal Statutory Income Tax Rate, Amount Components of Income Tax Expense (Benefit) [Abstract] Effective Income Tax Rate Reconciliation, Amount [Abstract] Income Taxes Income Tax, Policy [Policy Text Block] State taxes, net of federal benefit, if applicable REIT income not subject to tax Effective Income Tax Rate Reconciliation, Tax Exempt Income, Amount Payables for unsettled trades Increase (Decrease) in Accounts Payable Accrued expenses and other liabilities Increase (Decrease) in Accrued Liabilities and Other Operating Liabilities Receivables and other assets Increase (Decrease) in Accounts Receivable and Other Operating Assets Due to affiliate Increase (Decrease) in Due to Affiliates Changes in: Increase (Decrease) in Operating Capital [Abstract] Increase (Decrease) in Stockholders' Equity [Roll Forward] Net interest income Interest Revenue (Expense), Net Notional Amount of Swaptions [Member] Swaptions [Member] Interest Rate Swaptions [Member] Interest expense Interest Expense Cash paid during the period for interest expense Interest Paid, Net Net interest income Interest Income (Expense), Net Interest income Interest Income, Operating Interest receivable Notional Amount of Interest Rate Swaps [Member] Interest Rate Swaps [Member] Interest Rate Swap [Member] Investments in RMBS Investment, Policy [Policy Text Block] Investments [Domain] Investments [Domain] Investment Type [Axis] Investment Type [Axis] Original face value Investment Owned, Face Amount Investment Secondary Categorization [Axis] Investment Secondary Categorization [Axis] Investments in RMBS Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] Investments by Secondary Categorization [Domain] Investments by Secondary Categorization [Domain] Investments Investments Investments in RMBS [Abstract] Summary of RMBS Investments by Maturity Investments Classified by Contractual Maturity Date [Table Text Block] Transactions with Affiliates and Affiliated Entities [Abstract] Long-term Debt, Type [Axis] Long-term Debt, Type [Axis] Long-term Debt, Type [Domain] Long-term Debt, Type [Domain] Total Liabilities Liabilities Liabilities Liabilities [Abstract] Total Liabilities and Stockholders' Equity Liabilities and Equity Liabilities and Stockholders' Equity Liabilities and Equity [Abstract] Liabilities [Abstract] Liabilities, Fair Value Disclosure [Abstract] Outstanding borrowings Long-term Line of Credit Maximum borrowing amount Line of Credit Facility, Maximum Borrowing Capacity Long-term borrowings Long-term Debt 2019 Long-term Debt, Maturities, Repayments of Principal in Year Three 2022 2018 2020 2021 2017 Major Types of Debt and Equity Securities [Axis] Major Types of Debt and Equity Securities [Axis] Major Types of Debt and Equity Securities [Domain] Major Types of Debt and Equity Securities [Domain] Management fees Management Fee Expense Maturities of Long-Term Borrowings [Abstract] Maximum [Member] Maximum [Member] Minimum [Member] Minimum [Member] Excess mortgage servicing acquired Noncontrolling Interest, Ownership Percentage by Parent Percentage of operating partnership Noncontrolling Interest [Table] Noncontrolling Interest [Table] Noncontrolling Interest [Line Items] Noncontrolling Interest [Line Items] Non-controlling interests in Operating Partnership Stockholders' Equity Attributable to Noncontrolling Interest RMBS total Mortgage-backed Securities Available-for-sale, Fair Value Disclosure Aggregate unpaid principal balance Mortgage Loans on Real Estate, Carrying Amount of Mortgages Number of MSRs loans Mortgage Loans on Real Estate, Number of Loans Net cash provided by (used in) operating activities Net Cash Provided by (Used in) Operating Activities Cash Flows From Financing Activities Net Cash Provided by (Used in) Financing Activities [Abstract] Net cash provided by (used in) investing activities Net Cash Provided by (Used in) Investing Activities Cash Flows From Investing Activities Net Cash Provided by (Used in) Investing Activities [Abstract] Cash Flows From Operating Activities Net Cash Provided by (Used in) Operating Activities [Abstract] Numerator [Abstract] Net Income (Loss) Attributable to Parent [Abstract] Net Income (Loss) Applicable to Common Stockholders Net income allocable to common stockholders Net Income (Loss) Attributable to Parent Net cash provided by (used in) financing activities Net Cash Provided by (Used in) Financing Activities Net (income) loss allocated to noncontrolling interests in Operating Partnership Net Income (Loss) Attributable to Noncontrolling Interest Recent Accounting Pronouncements New Accounting Pronouncements, Policy [Policy Text Block] Other income Noninterest Income, Other Notes payable Notes Payable Non-Controlling Interest in Operating Partnership [Member] Noncontrolling Interest [Member] Not Designated as Hedging Instrument [Member] Not Designated as Hedging Instrument [Member] Offsetting Liabilities [Table] Offsetting Derivative Assets [Abstract] Offsetting Liabilities [Line Items] Summary of Offsetting Assets Offsetting Assets [Table] Summary of Offsetting Liabilities Offsetting Assets [Line Items] Offsetting Derivative Liabilities [Abstract] Other income (loss) Operating Income (Loss) [Abstract] Expenses Operating Expenses [Abstract] Total Expenses Operating Expenses Operating Segments [Member] Organization and Operations [Abstract] Organization and Operations Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block] Other comprehensive income (loss) Other Comprehensive Income (Loss), Net of Tax Reclassification of net realized (gain) loss on RMBS included in earnings Other Comprehensive Income (Loss), Reclassification Adjustment from AOCI for Sale of Securities, Net of Tax OTTI charges recognized in earnings Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities OTTI securities Other than Temporary Impairment Losses, Investments, Available-for-sale Securities Other comprehensive income (loss): Other Comprehensive Income (Loss), Net of Tax [Abstract] Other assets Other Assets Net unrealized gain (loss) on RMBS Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, Net of Tax Other operating expenses Other Cost and Expense, Operating Other liabilities Other Liabilities Other comprehensive income Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent Position [Domain] Position [Axis] Purchase of derivatives Payments for Hedge, Investing Activities Purchase of RMBS Payments to Acquire Mortgage Backed Securities (MBS) categorized as Available-for-sale Dividends paid Payments of Dividends Dividends declared but not paid Payments of Ordinary Dividends, Common Stock Excess mortgage servicing acquired, amount Proceeds from principal paydowns Payments to Acquire Mortgage Servicing Rights (MSR) Plan Name [Domain] Plan Name [Domain] Plan Name [Axis] Plan Name [Axis] Portion at Fair Value Measurement [Member] Portion at Fair Value Measurement [Member] Preferred stock, shares issued (in shares) Preferred Stock, Shares Issued Preferred stock, shares authorized (in shares) Preferred Stock, Shares Authorized Preferred stock, par value (in dollars per share) Preferred Stock, Par or Stated Value Per Share Preferred stock, shares outstanding (in shares) Preferred Stock, Shares Outstanding Preferred stock, $0.01 par value, 100,000,000 shares authorized, none issued and outstanding as of June 30, 2017 and December, 31, 2016 Preferred Stock, Value, Issued Aggregate unpaid principal balance Proceeds from bank loans Proceeds from Bank Debt Changes in restricted cash Proceeds from (Repayments of) Restricted Cash, Financing Activities Issuance of common stock, net of offering costs Proceeds from Issuance of Common Stock Proceeds from Federal Home Loan Bank advances Proceeds from Federal Home Loan Bank Borrowings Proceeds from sale of RMBS Proceeds from Sale of Mortgage Backed Securities (MBS) categorized as Available-for-sale Cash proceeds from sale of mortgage loans Proceeds from Sale of Mortgage Loans Held-for-sale Net income Net income (loss) Net Income (Loss) Net income allocable to common stockholders and participating securities Securities obligated to purchase Purchase Obligation Range [Axis] Range [Axis] Range [Domain] Range [Domain] Realized gain (loss) on acquired assets, net Realized Investment Gains (Losses) Amount due to affiliated entity Transactions with Affiliates and Affiliated Entities Related Party Transactions Disclosure [Text Block] Related Party Transaction [Line Items] Repayments of Federal Home Loan Bank advances Repayments of Federal Home Loan Bank Borrowings Repayment of outstanding borrowings Principal paydown of bank loans Repayments of Bank Debt Repurchase Agreements and Interest Expense Repurchase Agreements, Collateral, Policy [Policy Text Block] Repurchase Agreements Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block] Repurchase Agreements [Member] Repurchase Agreements [Member] RMBS [Member] Residential Mortgage Backed Securities [Member] Restricted cash Restricted Cash and Cash Equivalents Retained Earnings (Deficit) [Member] Retained Earnings [Member] Retained earnings Retained Earnings (Accumulated Deficit) Dividends Payable Revenue Recognition, Dividends [Policy Text Block] Issuance Price (in dollars per share) Common stock issued, price per share (in dollars per share) Net servicing income (loss) Net servicing income Sales Revenue, Services, Net Components of Income Tax Expense (Benefit) Schedule of Components of Income Tax Expense (Benefit) [Table Text Block] Summary of Current and Deferred Tax Liabilities and Assets Schedule of Deferred Tax Assets and Liabilities [Table Text Block] Information about Company's 2013 Plan Schedule of Share-based Compensation, Stock Options, Activity [Table Text Block] Schedule of Basic Earnings per Share of Common Stock Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] Company's Assets and Liabilities Measured at Fair Value on Recurring Basis Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] Summary of RMBS Investments Schedule of Available-for-sale Securities Reconciliation [Table Text Block] Summary of Information about Company's Interest Rate Swap Agreements Schedule of Interest Rate Derivatives [Table Text Block] Outstanding Long-Term Borrowings Remaining Maturities Reconciliation of Statutory Federal Rate to Effective Rate Schedule of Effective Income Tax Rate Reconciliation [Table Text Block] Schedule of Available-for-sale Securities [Table] Schedule of Available-for-sale Securities [Table] Schedule of Available-for-sale Securities [Line Items] Schedule of Available-for-sale Securities [Line Items] Summary of Outstanding Notional Amounts of Derivative Instruments Schedule of Derivative Instruments [Table Text Block] Summary of Financial Data on CHMI's Segments with Reconciliation Schedule of Segment Reporting Information, by Segment [Table Text Block] Schedule of Related Party Transactions, by Related Party [Table] Schedule of Share-based Compensation Arrangements by Share-based Payment Award [Table] Schedule of Share-based Compensation Arrangements by Share-based Payment Award [Table] Schedule of Segment Reporting Information, by Segment [Table] Schedule of Segment Reporting Information, by Segment [Table] Summary of Realized Gain (Loss) Related to Derivatives Derivative Instruments, Gain (Loss) [Table Text Block] Secured Notes Payable [Member] Secured Debt [Member] Total repurchase agreements Securities Sold under Agreements to Repurchase, Gross Repurchase agreements Securities Sold under Agreements to Repurchase Segment Reporting Segment Reporting Disclosure [Text Block] Segments [Domain] Segments [Domain] Segment Reporting [Abstract] Segment Reporting Information [Line Items] Segment Reporting Information [Line Items] Geographical [Domain] Geographical [Domain] Servicing fee income Servicing Fees Investments in Servicing Related pledged assets at fair value Servicing related assets LTIP-OP Unit awards Share-based Compensation LTIP-OP unit vesting period LTIP-OP Units Issued Upon Exercise (in shares) Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Exercised Share-based Compensation Arrangement by Share-based Payment Award [Line Items] Share-based Compensation Arrangement by Share-based Payment Award [Line Items] Aggregate grant date fair value (in shares) Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period LTIP-OP Units Forfeited During The Period (in shares) LTIP-OP unit vested (in shares) Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period Shares of Common Stock Forfeited During The Period (in shares) Equity Award [Domain] Equity Award [Domain] Short [Member] Notional Amount of Options on Treasury Futures [Member] Statement [Line Items] Statement [Line Items] Equity Components [Axis] Equity Components [Axis] Consolidated Statements of Changes in Stockholders' Equity (Unaudited) [Abstract] Consolidated Statements of Cash Flows (Unaudited) [Abstract] Consolidated Statements of Comprehensive Income (Loss) (Unaudited) [Abstract] Statement [Table] Statement [Table] Consolidated Balance Sheets (Unaudited) [Abstract] Segments [Axis] Segments [Axis] Geographical [Axis] Geographical [Axis] Issuance of common stock Common stock issued and sold Stock Issued During Period, Value, New Issues Aggregate grant date fair value Issuance of common stock (in shares) Common stock issued and sold (in shares) Stock Issued During Period, Shares, New Issues Shares of Common Stock Exercised During The Period (in shares) Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period Stockholders' Equity Stockholders' Equity Attributable to Parent [Abstract] Total Stockholders' Equity Beginning balance Ending balance Stockholders' Equity, Including Portion Attributable to Noncontrolling Interest Equity and Earnings per Share Stockholders' Equity Note Disclosure [Text Block] Total Cherry Hill Mortgage Investment Corporation Stockholders' Equity Stockholders' Equity Attributable to Parent Subsequent Events [Abstract] Subsequent Events Subsequent Events [Text Block] Supplemental Disclosure of Cash Flow Information Supplemental Cash Flow Information [Abstract] Relationship to Entity [Domain] Relationship to Entity [Domain] Title of Individual [Axis] Title of Individual [Axis] Financial Instruments [Domain] Financial Instruments [Domain] Unrealized (gain) loss on derivatives, net Unrealized gain (loss) on derivatives, net Unrealized Gain (Loss) on Derivatives Use of Estimates Use of Estimates, Policy [Policy Text Block] Valuation Technique [Axis] Valuation Technique [Axis] Valuation Technique [Domain] Valuation Technique [Domain] Diluted (in shares) Weighted average diluted shares outstanding (in shares) Weighted Average Number of Shares Outstanding, Diluted Weighted Average Number of Shares of Common Stock Outstanding Weighted Average Number of Shares Outstanding, Diluted [Abstract] Weighted Average [Member] Weighted Average [Member] Basic (in shares) Weighted average common shares outstanding (in shares) Weighted Average Number of Shares Outstanding, Basic Income California [Member] CALIFORNIA Colorado [Member] COLORADO Florida [Member] FLORIDA Georgia [Member] GEORGIA North Carolina [Member] NORTH CAROLINA New Jersey [Member] Texas [Member] TEXAS Utah [Member] Virginia [Member] VIRGINIA Washington [Member] WASHINGTON The aggregate carrying amounts, as of the balance sheet date, of receivables and other assets not separately disclosed in the balance sheet. Receivables And Other Assets Receivables and other assets Total other assets Net amount of the investment in a contractual right to receive money on demand or on fixed or determinable dates that is recognized as an asset in the creditor's statement of financial position. Receivables From Unsettled Trades Net Receivables from unsettled trades Noncontrolling interest increase from long term incentive plan units. Noncontrolling Interest Increase From Long Term Incentive Plan Units LTIP-OP Unit awards Amount of cash distribution paid to long term incentive plan units. Distribution Paid On Long Term Incentive Plan Units Distribution paid on LTIP-OP Units Investments in Servicing Related Assets [Abstract] The entire disclosure for investment in servicing related assets. Investment In Servicing Related Assets [Disclosure Text Block] [Text Block] [Text Block] Investments in Servicing Related Assets Refers to excess Mortgage servicing rights of Pool 1. Excess MSR Pool 1 [Member] Excess MSR Pool 1 [Member] Refers to Freedom mortgage excess service right. Freedom Mortgage Excess Service Right [Member] Freedom Mortgage Excess Service Right [Member] Securities collateralized by mortgage servicing rights. Mortgage Service Right [Member] Mortgage Servicing Rights (MSRs) [Member] MSRs [Member] Refers to excess Mortgage servicing rights of Pool 2. Excess MSR Pool 2 [Member] Excess MSR Pool 2 [Member] The amount of principal collected on mortgage servicing rights unpaid principal balance during the reporting period. Investment In Excess Mortgage Servicing Rights Unpaid Principal Balance Mortgage loans with an outstanding principal balance Percentage right of investment in excess mortgage servicing rights acquired by others. Percentage Right of Investment In Excess Mortgage Servicing Rights Acquired By Others Percentage of co-investment in excess MSRs, pari passu Refers to number of portfolios. Number of Portfolios Number of portfolios Mortgage excess servicing is the percentage remainder of the annual yield on a mortgage-backed servicing rights basic weighted average coupon. Investment In Excess Mortgage Servicing Rights Basic Weighted Average Coupon Rate Amount representing reasonable compensation for performing the servicing duties Paying off of an existing obligation from the proceeds of a new borrowing obtained by the entity. Payment For Investment In Excess Mortgage Servicing Rights Acquired Refinancing of loans Excess mortgage amount that a servicer may retain, such as interest income on temporary. Investment In Excess Mortgage Servicing Rights Weighted Average Coupon Rate Excess mortgage servicing amount Percentage of investment in excess mortgage of capitalized servicing rights, which contractually entitle the servicer to receive fees and ancillary revenues for performing billing, collection, disbursement and recordkeeping services in connection with a mortgage portfolio. Investment In Excess Mortgage Servicing Rights Initial Weighted Average Coupon Weighted average mortgage servicing amount on unpaid balance Aurora Financial Group Inc. is a website for home loans, mortgages, electronic lending, and loans using the best mortgage tools on the Internet. Aurora Financial Group Inc [Member] Aurora Financial Group, Inc [Member] Percentage of excess mortgage amount that a servicer may retain, such as interest income on temporary. Percentage Right of Investment In Excess Mortgage Servicing Rights Acquired Acquired servicing rights, excess mortgage servicing amount Conventional securities collateralized by mortgage servicing rights. Mortgage Service Right Conventional [Member] Government securities collateralized by mortgage servicing rights. Mortgage Service Right Government [Member] MSRs Government [Member] Refers to excess mortgage servicing rights of pool 2 recapture agreement. Excess MSR Pool Two Recapture Agreement [Member] Excess MSR Pool 2 - Recapture Agreement [Member] The net Increase or Decrease in fair value as a result of other changes that are not additions, disposals, or a result of change in the inputs, assumptions, or model used to calculate the fair value of servicing assets. Investment In Servicing Related Assets Change In Fair Value In Other Income (Loss) Changes in fair value recorded in other income (loss) This item represents the cost of equity securities, which are categorized neither as held-to-maturity nor trading, net of adjustments for other-than-temporary impairments recognized in earnings. Investment In Servicing Related Assets At Amortized Cost Cost basis Amount of unpaid principal balance of impaired financing receivables with related allowance for credit losses and without related allowance for credit losses. Investment In Servicing Related Assets Unpaid Principal Balance Unpaid principal balance Weighted average maturity (weighted by amount of the agreement) of repurchase agreements with the counterparty, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. Investment In Servicing Related Assets Weighted Average Maturity Period Weighted average maturity Carrying value is based on the original cost of the asset less any depreciation, amortization or impairment costs made against the asset. Investment In Servicing Related Assets At Fair Value Carrying value The amount of weighted average coupon inventory present at the reporting date when inventory is valued using different valuation methods. Investment In Servicing Related Assets Weighted Average Coupon Weighted average coupon Refers to change in fair value of investments in excess mortgage servicing rights. Change In Fair Value Of Investments In Excess Mortgage Servicing Rights Change in fair value of investments in Servicing Related Assets Unrealized gain (loss) included in Net Income The cash inflow for repayments of repurchase agreements during the period. Repayments For Securities Sold under Agreements to Repurchase Repayments of repurchase agreements The cash outflow in the form of capital distributions to long term incentive plan units during the period. Long Term Incentive Plan Distributions Paid LTIP-OP Units distributions paid The cash inflow from borrowings under repurchase agreements during the period. Proceeds from Borrowings of Securities Sold Under Agreements to Repurchase Borrowings under repurchase agreements The cash inflow from principal paydown of agency residential mortgage backed security during the period. Proceeds From Principal Paydown of Agency Residential Mortgage Backed Security Principal paydown of RMBS The cash inflow from principal paydown of excess of mortgage servicing rights during the period. Proceeds of Principal in Excess of Mortgage Servicing Rights Principal paydown of Excess MSRs The increase (decrease) during the reporting period in the amount due from customers for the credit sale of goods and services from unsettled trades. Increase (Decrease) in Accounts Receivables from Unsettled Trades Receivables from unsettled trades The cash outflow associated with the acquisition of payments to acquire MSRs. Payments To Acquire Mortgage Servicing Rights Acquisition of MSRs Refers to amount of realized gain (loss) on excess of mortgage servicing rights. Realized Gain Loss On Excess Of Mortgage Servicing Rights Realized gain (loss) on investments in Excess MSRs, net Realized gain (loss) on investments in Excess MSRs, net Realized gain (loss) on Excess MSRs, net The cash inflow from the sale of excess mortgage servicing rights during the period. Proceeds from Sale of Excess Mortgage Servicing Rights Proceeds from sale of Excess MSRs Refers to the amount of unrealized gain (loss) on investments in mortgage servicing rights. Unrealized Gain Loss On Investments In Mortgage Servicing Rights Unrealized gain (loss) on investments in MSRs Unrealized gain (loss) on MSRs, net Refers to amount of unrealized gain (loss) on excess of mortgage servicing rights. Unrealized Gain Loss On Excess Of Mortgage Servicing Rights Unrealized gain (loss) on investments in Excess MSRs Unrealized gain (loss) on Excess MSRs, net The total amount of management fee and expense reimbursement to affiliate. Management Fee And Expense Reimbursement To Affiliate Management fee to affiliate Total Derivative weighted average nominal receive rate type used to calculate amount of money received per unit time of derivative instrument. Derivative Weighted Average Receive Rate Type Weighted average receive rate type Derivative weighted average nominal pay rate used to calculate amount of money paid per unit time of derivative instrument. Derivative Weighted Average Pay Rate Weighted average pay rate Refers to weighted average period to mature derivative instrument, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. Derivative Weighted Average Maturity Period Weighted average years to maturity Derivative weighted average nominal receive rate used to calculate amount of money received per unit time of derivative instrument. Derivative Weighted Average Receive Rate Weighted average receive rate Defines to be announced securities (TBAs) used for duration risk and basis risk management purposes. Tba [Member] Notional Amount of TBAs, Net [Member] TBAs [Member] Tabular disclosure of repurchase agreements remaining maturities and weighted average rates during the period. Schedule Of Repurchase Agreements Table [Table Text Block] Repurchase Agreements Remaining Maturities and Weighted Average Rates This table lists the significant accounting policies. Significant Accounting Policies [Table] Significant Accounting Policies [Table] Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. Significant Accounting Policies [Line Items] Significant Accounting Policies [Line Items] Investment in Residential Mortgage Backed Security [Abstract] Investment in RMBS [Abstract] Amount of gain on sale or disposal of real estate mortgage backed securities. Gain On Sales Of Real Estate Mortgage Backed Securities Gain on RMBS Amount of loss on sale or disposal of real estate mortgage backed securities. Loss On Sales Of Real Estate Mortgage Backed Securities Loss on RMBS Refers to other assets and due from customers or clients for goods or services that have been delivered or sold. Receivables And Other Assets [Member] Receivables and Other Assets [Member] Represents reimbursable servicing advances receivable. Reimbursable Servicing Advances [Member] Reimbursable Servicing Advances [Member] Mortgage excess servicing is the percentage remainder of the annual yield on a mortgage-backed security (MBS) once it has been allocated between the holder, the servicer, and the underwriter. Excess Mortgage Service Right [Member] Excess Mortgage Service Right [Member] A term loan is a monetary loan that is repaid in regular payments over a set period of time. Term Loan [Member] Term Loan [Member] Refers to the number of loans purchased. Number of purchased Loans Number of purchased loans Refers to number of loans sold. Number of Loans Sold Number of loans sold Disclosure of accounting policy for affiliates. Affiliates [Policy Text Block] Due to Affiliates Disclosure of accounting policy for changes in presentation. Changes In Presentation [Policy Text Block] Changes in Presentation Disclosure of accounting policy for emerging growth company status. Emerging Growth Company Status [Policy Text Block] Emerging Growth Company Status Disclosure of accounting policy for realized gain (loss) on investments net. Realized Gain Loss On Investments Net [Policy Text Block] Realized Gain (Loss) on Investments, Net Disclosure of accounting policy for risks and uncertainties. Risks And Uncertainties [Policy Text Block] Risks and Uncertainties Disclosure of accounting policy for investments in excess mortgage servicing rights. Investments in Excess Mortgage Servicing Rights [Policy Text Block] Investments in Excess MSRs Disclosure of accounting policy for investments in mortgage servicing rights. Investments in Mortgage Servicing Rights [Policy Text Block] Investments in MSRs Represents the amount of compensation reimbursement on expenses incurred. Compensation reimbursement Compensation reimbursement Refers to the unpaid principal balance on mortgage servicing rights loans. Aggregate Unpaid Principal Balance on Mortgage Servicing Rights Aggregate unpaid principal balance Refers to weighted average servicing fee on mortgage backed securities. Weighted Average Servicing Fee Basis Points Weighted average servicing fee Percentage of annual management fee paid equal to gross equity. Percentage Of Gross Equity Paid To Manager As Annual Management Fee Percentage of annual management fee paid equal to gross equity Refers to term of joint marketing recapture agreement automatic renewals. Joint Marketing Recapture Agreement Automatic Renewals Term Joint marketing recapture agreement automatic renewals term Refers to initial term of joint marketing recapture agreement. Joint Marketing Recapture Agreement Initial Term Joint marketing recapture agreement initial term Refers to the initial term of subservicing agreements. Subservicing of Financial Assets Agreements Initial Term Subservicing agreement initial term Refers to the additional term of subservicing agreements after renewal. Subservicing of Financial Assets Agreements Additional Term Subservicing agreement additional term Refers to joint marketing recapture agreement termination notice period. Joint Marketing Recapture Agreement Termination Notice Period Joint marketing recapture agreement termination notice period Term of the management arrangement renewal, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. Management Agreement Renewal Period Renew of management agreement subject to termination A term loan with NexBank SSB, is a monetary loan that is repaid in regular payments over a set period of time. NexBank Term Loan [Member] NexBank Term Loan [Member] Refers to Ginnie Mae mortgage servicing rights. Ginnie Mae Mortgage Servicing Rights [Member] Ginnie Mae MSRs [Member] Refers to the period of monthly yield maintenance period. Monthly Yield Maintenance Payment Period Period of monthly yield maintenance payment Carrying value of securities pledged as collateral against securities sold under agreement to repurchase. Securities Sold Under Agreements To Repurchase carrying Value Of Collateral RMBS, pledged assets available-for-sale Carrying value of collateral for repurchase agreements Refers to servicing related assets. Servicing Related Assets [Member] Servicing Related Assets [Member] Assets liabilities net book value. Assets Liabilities Net Book Value Book value Weighted Average Number of Shares Outstanding, Basic and Diluted [Abstract] Denominator [Abstract] Number of shares held by non-controlling interest holders in operating partnerships. Shares Held By Minority Interest In Operating Partnerships Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares) Represents long term incentive plan - operating partnership units. Long Term Incentive Plan Units [Member] LTIP-OP Units [Member] Tabular disclosure of investment in servicing related assets. Schedule Of Investment In Servicing Related Assets Table [Text Block] Summary of Servicing Related Assets Tabular disclosure of investment in servicing related assets unpaid principal balance percentage by geographic distribution. Schedule Of Investment In Servicing Related Assets Unpaid Principal Balance Percentage By Geographic Distribution Table [Text Block] Summary of Geographic Concentration of Servicing Related Assets Represents the net amount of derivative liabilities in balance sheet. Derivative Liabilities Net Amount in Balance Sheet Net amounts of assets presented in the consolidated balance sheet Tabular disclosure of reimbursement for costs and expenses to affiliates. Schedule Of Reimbursement For Costs And Expenses To Affiliates Table [Table Text Block] Management Fee to Affiliate Refers to estimated fair value of earn-out payment payable rate. Estimated Fair Value Of Earn-out Payment Payable Rate Uncollected Payments Estimated future cost to service on annual basis per loan. Estimated Future Cost To Service On Annual Basis Per Loan Annual cost to service, per loan Refers to discounted cash flow. Discounted Cash Flow [Member] Discounted Cash Flow [Member] Refers to Conventional mortgage excess service right. Conventional Mortgage Excess Service Right [Member] MSRs Conventional [Member] Servicing related pool 2 assets measured at fair value on a recurring basis. Servicing Related Assets Pool 2 [Member] Excess MSR Pool 2 [Member] Pool 2 [Member] Refers to the expense amount related to stock issuance. Stock Issuance Expense Stock issuance expense Date of issuance for equity securities of development stage entities, in CCYY-MM-DD format. Equity Issuance Date Date of conducting IPO and concurrent private placement of common stock Amount of deferred tax asset attributable to taxable temporary differences from mortgage servicing rights. Deferred Tax Asset Mortgage Servicing Rights Deferred tax - mortgage servicing rights Income tax rate reconciliation permanent differences. Income Tax Rate Reconciliation Permanent Differences Permanent differences in taxable income from GAAP pre-tax income Income Taxes Payable Receivable [Abstract] Income taxes payable [Abstract] Amount of federal income taxes (payable) receivable net. Federal Income Taxes Payable Receivable Federal income taxes payable Amount of state and local current and deferred income taxes (payable) receivable. State And Local Income Taxes Payable Receivable State and local income taxes payable Amount, after allocation of valuation allowances and deferred tax liability, of deferred tax asset attributable to deductible differences and carryforwards, netted by jurisdiction and classified as current. Deferred Tax Assets, Organizational expenses Deferred tax - organizational expenses The amounts payable to taxing authorities for taxes that are based on the reporting entity's earnings, net of amounts receivable from taxing authorities for refunds of overpayments or recoveries of income taxes. Income Taxes Payable Receivable Net Income taxes payable Refers to percentage of effective income tax rate reconciliation, pre-taxable income Federal tax rate differential. Effective Income Tax Rate Reconciliation Pre-Taxable Income Federal Tax Rate Differential Permanent differences in taxable income from GAAP pre-tax income Term of interest rate that fluctuates over time as a result of an underlying benchmark interest rate or index, in PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. Debt Instrument Term of Variable Rate Debt instrument term of variable rate Remaining amortization period for the liability component of convertible debt which may be settled in cash upon conversion, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. Debt Instrument Amortization Period Debt instrument, amortization period Refers to period of variable spread rate basis on interest rate swap in PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. Period Of Variable Spread Rate Basis On Interest Rate Swap Period of variable spread rate basis on interest rate swap Refers to conversion term of debt instrument in PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. Debt Instrument Conversion Term Debt instrument conversion term Arrangement in which loan proceeds can continuously be obtained repayments and having maturity period. Msr Facility [Member] MSR Financing Facility [Member] A term loan facility is a monetary loan that is repaid in regular payments over a set period of time. Msr Term Loan Facility [Member] MSR Term Loan [Member] Minimum amount of sales arrangement in which the entity has agreed to expend funds to sale goods or services. Obligations To Sell Securities obligated to sell Refers to the amount for legal proceedings, legal contingencies, litigation, regulatory and environmental matters and other contingencies. Legal And Regulatory Claims Accruals Accruals of legal and regulatory claims Refers to the percentage of derivative instruments classified as fair value assets and liabilities under fair value inputs portfolio. Fair Value Inputs Portfolio Asset Classification Percentage of derivative instruments classified as fair value assets and liabilities Refers to types of derivative financial instruments which are financial instruments that includes excess mortgage servicing rights. Excess Mortgage Servicing Rights [Member] Excess MSRs [Member] Securities collateralized by mortgage servicing rights. Mortgage Servicing Rights [Member] MSRs [Member] Refers to investment in excess mortgage servicing rights at fair value. Investment In Excess Mortgage Servicing Rights At Fair Value Beginning balance Ending balance Changes In Fair Value Due To: [Abstract] Changes in Fair Value due to: Amount of increase (decrease) other in fair value of investments in excess mortgage servicing rights. Other Change In Fair Value Of Investments In Excess Mortgage Servicing Rights Other changes in fair value Amount of increase (decrease) in fair value from changes in the inputs, assumptions, or model used to calculate the fair value of investments in excess mortgage servicing rights. Changes in Fair Value Resulting from Changes in Valuation Inputs or Changes in Assumptions Of Investments In Excess Mortgage Servicing Rights Changes in valuation inputs or assumptions used in valuation model The cash outflow associated with the acquisition of excess mortgage servicing rights during the period. Payments To Acquire Investments In Excess Of Mortgage Servicing Rights Purchases Amount of other changes of financial instrument classified as an asset measured using unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing. Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Other Changes Other changes Servicing related pool 2014 assets measured at fair value on a recurring basis. Servicing Related Assets Pool 2014 [Member] Excess MSR Pool 2014 [Member] Servicing related pool 1 assets measured at fair value on a recurring basis. Servicing Related Assets Pool 1 [Member] Pool 1 [Member] Receivables and Other Assets [Abstract] The entire disclosure for information about receivables other assets and due from customers or clients for goods or services that have been delivered or sold. Receivables and Other Assets [Text Block] Receivables and Other Assets Amount of repurchased value of loans or securitized loans that are held with the intention to sell in the near future. Repurchased Loans Held For Sale Repurchased loans held for sale Refers to the amount of servicing advances receivables from client or customers that are to be treated as receivables. Servicing advances Servicing advances The amount of additional servicing fees receivable from client or customer. Excess servicing fee income Excess servicing income receivable Refers to the percentage of Investment in servicing related assets unpaid principal balance. Investment In Servicing Related Assets Unpaid Principal Balance Percentage Outstanding unpaid principal balance Refers to all other states. All Other States [Member] All Other [Member] Tabular disclosure of receivables and other assets and due from customers or clients for goods or services that have been delivered or sold. Receivables and Other Assets [Table Text Block] Receivables and Other Assets Aggregate net realized gain and losses on all derivative instruments. Gain Loss On Derivative Instruments Net [Member] Realized Gain (Loss) on Derivatives, Net [Member] Refers to remaining weighted average maturity period of the repurchase agreement. Repurchase Agreements Maturity Period Weighted average of remaining maturities days Repurchase Agreement Characteristics, Weighted Average Rates [Abstract] Repurchase Agreement Characteristics, Weighted Average Rates [Abstract] Repurchase agreement weighted average interest rate held by the entity with maturities greater than three months. Repurchase Agreement Greater Than Three Months Weighted Average Rate Greater than three months, weighted average rate Repurchase agreement weighted average interest rate held by the entity with maturities greater than one months, but three months or less. Repurchase Agreement One to Three Months Weighted Average Rate One to three months, weighted average rate Amount of outstanding on repurchase agreement from Federal Home Loan Bank, which are primarily used to cover shortages in the required reserve balance and liquidity shortages. Repurchase Agreement Outstanding Amount Repurchase agreements outstanding Refers to the number of overnight and demand securities. Number of Overnight and Demand Securities Number of overnight or demand securities Repurchase agreement weighted average interest rate held by the entity with maturities within one month. Repurchase Agreement Less Than One Month Weighted Average Rate Less than one month, weighted average rate Repurchase agreement weighted average interest rate held by the entity total. Repurchase Agreement Weighted Average Rate Weighted average rate Repurchase Agreement Characteristics Remaining Maturities [Abstract] Repurchase Agreement Characteristics Remaining Maturities [Abstract] Amount of the fixed and determinable portion of the purchase obligation maturing with in one month of the latest fiscal year. Repurchase Agreement Obligation Less Than One Month Maturities Less than one month, repurchase agreements Amount of the fixed and determinable portion of the purchase obligation maturing with in one to three months of the latest fiscal year. Repurchase Agreement Obligation One to Three Months Maturities One to three months, repurchase agreements Amount of the fixed and determinable portion of the purchase obligation maturing after three months of the latest fiscal year. Repurchase Agreement Obligation Greater Than Three Months Maturities Greater than three months, repurchase agreements Number of shares under non-option equity instrument agreements that were cancelled as a result of occurrence of a terminating event. Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Forfeitures, Balance LTIP-OP Units Forfeited, Ending Balance (in shares) LTIP-OP Units Forfeited, Beginning Balance (in shares) Balance of the number of options forfeited. Share-based Compensation Arrangement by Share-based Payment Award, Options, Forfeitures in Period, Balance Shares of Common Stock Forfeited, Ending Balance (in shares) Shares of Common Stock Forfeited, Beginning Balance (in shares) Balance of the number of options issued. Share-based Compensation Arrangement by Share-based Payment Award, Options, Issued, Balance Shares of Common Stock Issued, Beginning Balance (in shares) Shares of Common Stock Issued, Ending Balance (in shares) Refers to the number of equivalent shares of long term incentive plan. Long Term Incentive Plan Units Awards Equivalent Shares Number of share equivalent to unit awarded (in shares) Number of equity instruments other than options issued. Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Issued, Number LTIP-OP Units, Ending Balance (in shares) LTIP-OP Units, Beginning Balance (in shares) Period in which the number of equity-based payment instruments, excluding stock (or unit) options that were forfeited in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. Share Based Compensation Arrangement by Share Based Payment Award Equity Instruments other than Options Forfeiture Period Forfeiture period of restricted shares Number of common shares and units reserved for future issuance during the period. Number of units and shares remaining available for future issuance under equity compensation plans (in shares) Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares) Date of grant, pertaining to equity-based compensation arrangements. June 15, 2016 [Member] June 15, 2016 [Member] Date of grant, pertaining to equity-based compensation arrangements. September 9, 2015 [Member] September 9, 2015 [Member] Date of grant, pertaining to equity-based compensation arrangements. January 27, 2014 [Member] January 27, 2014 [Member] Restricted common stock including a provision that prohibits sale or substantive sale of an equity instrument for a specified period of time or until specified performance conditions are met. Restricted Common Stock [Member] Restricted Common Stock [Member] Date of grant, pertaining to equity-based compensation arrangements. June 14 2017 [Member] June 14 2017 [Member] Represents 2013 equity incentive plan. 2013 Plan [Member] 2013 Plan [Member] Refers to maturity period of available for sale securities. Available For Sale Securities Maturity Period Weighted average maturity Represents the net weighted average yield of available for sale security investments. Available For Sale Securities Net Weighted Average Yield Weighted average yield Refers to net weighted average coupon rate of available for sale securities investments. Available For Sale Securities Net Weighted Average Coupon Rate Weighted average coupon The change in the value of the assets which have not become actual but would happen if the investor sold the security or asset that an entity currently holds. Increases and decreases in equity (net assets) from the change in fair value of peripheral or incidental transactions of an entity except those that result from revenues or investments by owners. Unrealized Loss Positions [Member] Unrealized Loss Positions [Member] Refers to net weighted average rating of available for sale security investments. Available For Sale Securities Net Weighted Average Rating Weighted average rating This element represents the number of investment in securities. Number Of Available For Sale Securities Number of securities Refers to unrealized loss on securities classified as available-for-sale that have been in a loss position for twelve months or longer. Unrealized Losses Of Securities Twelve Months Or More [Member] Twelve or More Months [Member] Refers to unrealized loss on investments in available-for-sale securities that have been in a loss position for less than twelve months. Unrealized Losses Of Securities Less Than Twelve Months [Member] Less than Twelve Months [Member] Federal National Mortgage Association provides local banks with federal money to finance home mortgages in an attempt to raise levels of home ownership and the availability of affordable housing. Fannie Mae [Member] Fannie Mae [Member] Federal Home Loan Mortgage Corporation provides local banks with federal money to finance home mortgages in an attempt to raise levels of home ownership and the availability of affordable housing. Freddie Mac [Member] Freddie Mac [Member] Assets maturity period of after one year through five years from the reporting date for repurchase agreements and similar transactions, for example, but not limited to, securities lending arrangements. Assets by Maturity After 1 year through 5 years [Member] 1-5 Years [Member] Assets maturity period of up to one year from the reporting date for repurchase agreements and similar transactions, for example, but not limited to, securities lending arrangements. Assets by Maturity Within One Year [Member] Less than 1 Year [Member] Assets maturity period of after five years through ten years from the reporting date for repurchase agreements and similar transactions, for example, but not limited to, securities lending arrangements. Assets by Maturity after Five Years through Ten Years [Member] 5-10 Years [Member] Assets maturity period of after ten years from the reporting date for repurchase agreements and similar transactions, for example, but not limited to, securities lending arrangements. Assets By Maturity After Ten Years [Member] Over 10 Years [Member] Document And Entity Information [Abstract] EX-101.PRE 11 chmi-20170630_pre.xml XBRL TAXONOMY EXTENSION PRESENTATION LINKBASE XML 12 R1.htm IDEA: XBRL DOCUMENT v3.7.0.1
Document and Entity Information - shares
 6 Months Ended
Jun. 30, 2017
Aug. 08, 2017
Document And Entity Information [Abstract]    
Entity Registrant Name Cherry Hill Mortgage Investment Corporation  
Entity Central Index Key 0001571776  
Current Fiscal Year End Date --12-31  
Entity Well-known Seasoned Issuer No  
Entity Voluntary Filers No  
Entity Current Reporting Status Yes  
Entity Filer Category Accelerated Filer  
Entity Common Stock, Shares Outstanding   12,708,547
Document Fiscal Year Focus 2017  
Document Fiscal Period Focus Q2  
Document Type 10-Q  
Amendment Flag false  
Document Period End Date Jun. 30, 2017  
XML 13 R2.htm IDEA: XBRL DOCUMENT v3.7.0.1
Consolidated Balance Sheets (Unaudited) - USD ($)
$ in Thousands
Jun. 30, 2017
Dec. 31, 2016
Assets    
RMBS, available-for-sale (including pledged assets of $1,251,770 and $608,560, respectively) $ 1,378,434 $ 671,904
Investments in Servicing Related Assets at fair value (including pledged assets of $74,455 and $61,263, respectively) 74,455 61,263
Cash and cash equivalents 30,520 15,824
Restricted cash 19,282 22,469
Derivative assets 7,106 9,121
Receivables and other assets 12,830 12,297
Total Assets 1,522,627 792,878
Liabilities    
Repurchase agreements 1,197,440 594,615
Derivative liabilities 3,265 694
Notes payable 35,500 22,886
Dividends payable 6,228 4,816
Due to affiliates 2,533 1,894
Payables for unsettled trades 14,872 6,202
Accrued expenses and other liabilities 7,162 5,762
Total Liabilities 1,267,000 636,869
Stockholders' Equity    
Preferred stock, $0.01 par value, 100,000,000 shares authorized, none issued and outstanding as of June 30, 2017 and December, 31, 2016 0 0
Common stock, $0.01 par value, 500,000,000 shares authorized and 12,708,547 shares issued and outstanding as of June 30, 2017 and 500,000,000 shares authorized and 7,525,348 shares issued and outstanding as of December, 31, 2016 127 75
Additional paid-in capital 229,345 148,457
Retained earnings 22,807 12,093
Accumulated other comprehensive income (loss) 1,166 (6,393)
Total Cherry Hill Mortgage Investment Corporation Stockholders' Equity 253,445 154,232
Non-controlling interests in Operating Partnership 2,182 1,777
Total Stockholders' Equity 255,627 156,009
Total Liabilities and Stockholders' Equity $ 1,522,627 $ 792,878
XML 14 R3.htm IDEA: XBRL DOCUMENT v3.7.0.1
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($)
$ in Thousands
Jun. 30, 2017
Dec. 31, 2016
Assets    
RMBS, pledged assets available-for-sale $ 1,251,770 $ 608,560
Investments in Servicing Related pledged assets at fair value $ 74,455 $ 61,263
Stockholders' Equity    
Preferred stock, par value (in dollars per share) $ 0.01 $ 0.01
Preferred stock, shares authorized (in shares) 100,000,000 100,000,000
Preferred stock, shares issued (in shares) 0 0
Preferred stock, shares outstanding (in shares) 0 0
Common stock, par value (in dollars per share) $ 0.01 $ 0.01
Common stock, shares authorized (in shares) 500,000,000 500,000,000
Common stock, shares issued (in shares) 12,708,547 7,525,348
Common stock, shares outstanding (in shares) 12,708,547 7,525,348
XML 15 R4.htm IDEA: XBRL DOCUMENT v3.7.0.1
Consolidated Statements of Income (Loss) (Unaudited) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Income        
Interest income $ 10,002 $ 7,135 $ 16,080 $ 12,323
Interest expense 4,292 1,885 6,723 3,542
Net interest income 5,710 5,250 9,357 8,781
Servicing fee income 5,493 1,574 10,067 3,069
Servicing costs 991 501 2,218 903
Net servicing income (loss) 4,502 1,073 7,849 2,166
Other income (loss)        
Realized gain (loss) on RMBS, net (77) 235 (333) 555
Realized gain (loss) on investments in Excess MSRs, net 0 0 6,678 0
Realized gain (loss) on derivatives, net (1,797) (299) (2,814) (1,760)
Unrealized gain (loss) on derivatives, net (4,633) (1,228) (3,551) (6,426)
Unrealized gain (loss) on investments in Excess MSRs 0 (149) 0 (2,456)
Unrealized gain (loss) on investments in MSRs (4,507) (3,076) 7,805 (5,308)
Total Income (Loss) (802) 1,806 24,991 (4,448)
Expenses        
General and administrative expense 1,045 822 2,020 1,630
Management fee to affiliate 1,162 690 2,054 1,380
Total Expenses 2,207 1,512 4,074 3,010
Income (Loss) Before Income Taxes (3,009) 294 20,917 (7,458)
(Benefit from) provision for corporate business taxes (1,344) 10 (5) [1] (580) [1]
Net Income (Loss) (1,665) 284 20,922 (6,878)
Net (income) loss allocated to noncontrolling interests in Operating Partnership 119 (1) (293) 98
Net Income (Loss) Applicable to Common Stockholders $ (1,546) $ 283 $ 20,629 $ (6,780)
Net income (Loss) Per Share of Common Stock        
Basic (in dollars per share) $ (0.12) $ 0.04 $ 2.03 $ (0.90)
Diluted (in dollars per share) $ (0.12) $ 0.04 $ 2.03 $ (0.90)
Weighted Average Number of Shares of Common Stock Outstanding        
Basic (in shares) 12,695,090 7,509,543 10,164,564 7,509,543
Diluted (in shares) 12,701,715 7,520,616 10,171,031 7,519,827
[1] The provision for income taxes is recorded at the TRS level.
XML 16 R5.htm IDEA: XBRL DOCUMENT v3.7.0.1
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Consolidated Statements of Comprehensive Income (Loss) (Unaudited) [Abstract]        
Net income (loss) $ (1,665) $ 284 $ 20,922 $ (6,878)
Other comprehensive income (loss):        
Net unrealized gain (loss) on RMBS 5,810 4,730 7,226 12,382
Reclassification of net realized (gain) loss on RMBS included in earnings 77 (235) 333 (555)
Other comprehensive income (loss) 5,887 4,495 7,559 11,827
Comprehensive income (loss) 4,222 4,779 28,481 4,949
Comprehensive income (loss) attributable to noncontrolling interests in Operating Partnership (43) 68 399 70
Comprehensive income (loss) attributable to common stockholders $ 4,265 $ 4,711 $ 28,082 $ 4,879
XML 17 R6.htm IDEA: XBRL DOCUMENT v3.7.0.1
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) - USD ($)
$ in Thousands
Common Stock [Member]
Additional Paid-in Capital [Member]
Accumulated Other Comprehensive Income (Loss) [Member]
Retained Earnings (Deficit) [Member]
Non-Controlling Interest in Operating Partnership [Member]
Total
Beginning balance at Dec. 31, 2015 $ 75 $ 148,332 $ (197) $ 3,133 $ 994 $ 152,337
Beginning balance (in shares) at Dec. 31, 2015 7,519,038          
Increase (Decrease) in Stockholders' Equity [Roll Forward]            
Issuance of common stock $ 0 [1] 75 0 0 0 75
Issuance of common stock (in shares) 9,465          
Net income $ 0 0 0 (6,780) (98) (6,878)
Other comprehensive income 0 0 11,827 0 0 11,827
LTIP-OP Unit awards 0 0 0 0 282 282
Distribution paid on LTIP-OP Units 0 0 0 0 (102) (102)
Common dividends declared 0 0 0 (7,369) 0 (7,369)
Ending balance at Jun. 30, 2016 $ 75 148,407 11,630 (11,016) 1,076 150,172
Ending balance (in shares) at Jun. 30, 2016 7,528,503          
Beginning balance at Dec. 31, 2016 $ 75 148,457 (6,393) 12,093 1,777 $ 156,009
Beginning balance (in shares) at Dec. 31, 2016 7,525,348         7,525,348
Increase (Decrease) in Stockholders' Equity [Roll Forward]            
Issuance of common stock $ 52 80,888 0 0 0 $ 80,940
Issuance of common stock (in shares) 5,183,199          
Net income $ 0 0 0 20,629 293 20,922
Other comprehensive income 0 0 7,559 0 0 7,559
LTIP-OP Unit awards 0 0 0 0 281 281
Distribution paid on LTIP-OP Units 0 0 0 0 (169) (169)
Common dividends declared 0 0 0 (9,915) 0 (9,915)
Ending balance at Jun. 30, 2017 $ 127 $ 229,345 $ 1,166 $ 22,807 $ 2,182 $ 255,627
Ending balance (in shares) at Jun. 30, 2017 12,708,547         12,708,547
[1] de minimis ($95.00 rounds to $0.00).
XML 18 R7.htm IDEA: XBRL DOCUMENT v3.7.0.1
Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares
 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) [Abstract]    
Common dividends declared (in dollars per share) $ 0.98 $ 0.98
XML 19 R8.htm IDEA: XBRL DOCUMENT v3.7.0.1
Consolidated Statements of Cash Flows (Unaudited) - USD ($)
$ in Thousands
 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Cash Flows From Operating Activities    
Net income (loss) $ 20,922 $ (6,878)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:    
Realized (gain) loss on RMBS, net 333 (555)
Realized gain (loss) on investments in Excess MSRs, net (6,678) 0
Amortization of premiums on investment securities 3,268 1,851
Change in fair value of investments in Servicing Related Assets (7,805) 7,764
Unrealized (gain) loss on derivatives, net 3,551 6,426
Realized (gain) loss on derivatives, net 2,814 1,760
LTIP-OP Unit awards 281 282
Changes in:    
Receivables and other assets (368) (596)
Due to affiliate 639 134
Payables for unsettled trades 8,670 4,421
Accrued expenses and other liabilities 2,812 3,795
Net cash provided by (used in) operating activities 28,439 18,404
Cash Flows From Investing Activities    
Purchase of RMBS (749,246) (73,393)
Principal paydown of RMBS 39,064 24,514
Proceeds from sale of RMBS 7,610 45,501
Principal paydown of Excess MSRs 0 7,994
Proceeds from sale of Excess MSRs 35,905 0
Acquisition of MSRs (34,779) (15,297)
Purchase of derivatives (1,779) (2,006)
Net cash provided by (used in) investing activities (703,225) (12,687)
Cash Flows From Financing Activities    
Changes in restricted cash 3,187 (5,909)
Borrowings under repurchase agreements 1,697,683 1,049,585
Repayments of repurchase agreements (1,094,858) (979,070)
Proceeds from Federal Home Loan Bank advances 0 7,000
Repayments of Federal Home Loan Bank advances 0 (69,250)
Proceeds from bank loans 22,000 0
Principal paydown of bank loans (9,386) (1,460)
Dividends paid (9,915) (7,369)
LTIP-OP Units distributions paid (169) (102)
Issuance of common stock, net of offering costs 80,940 75
Net cash provided by (used in) financing activities 689,482 (6,500)
Net Increase (Decrease) in Cash and Cash Equivalents 14,696 (783)
Cash and Cash Equivalents, Beginning of Period 15,824 10,603
Cash and Cash Equivalents, End of Period 30,520 9,820
Supplemental Disclosure of Cash Flow Information    
Cash paid during the period for interest expense 3,550 3,653
Dividends declared but not paid $ 6,228 $ 3,689
XML 20 R9.htm IDEA: XBRL DOCUMENT v3.7.0.1
Organization and Operations
 6 Months Ended
Jun. 30, 2017
Organization and Operations [Abstract]  
Organization and Operations
Note 1 — Organization and Operations

Cherry Hill Mortgage Investment Corporation (together with its consolidated subsidiaries, the “Company”) was organized in the state of Maryland on October 31, 2012 to invest in residential mortgage assets in the United States. Under the Company’s charter, as of December 31, 2012, the Company was authorized to issue 1,000 shares of common stock. On June 6, 2013, the Company amended and restated its charter and increased its authorized capitalization. Accordingly, at December 31, 2013, the Company was authorized to issue up to 500,000,000 shares of common stock and 100,000,000 shares of preferred stock, each with a par value of $0.01 per share.

The accompanying interim consolidated financial statements include the accounts of the Company’s subsidiaries, Cherry Hill Operating Partnership LP (“Operating Partnership”), Cherry Hill QRS I, LLC, Cherry Hill QRS II, LLC, Cherry Hill QRS III, LLC (“QRS III”), Cherry Hill QRS IV, LLC (“QRS IV”), CHMI Solutions, Inc. (“CHMI Solutions”) and Aurora Financial Group, Inc. (“Aurora”).

On October 9, 2013, the Company completed an initial public offering (the “IPO”) and a concurrent private placement of its common stock. The Company did not conduct any activity prior to the IPO and the concurrent private placement. Substantially all of the net proceeds from the IPO and the concurrent private placement were used to invest in excess mortgage servicing rights on residential mortgage loans (“Excess MSRs”) and residential mortgage-backed securities (“RMBS” or “securities”), the payment of principal and interest on which is guaranteed by a U.S. government agency or a U.S. government sponsored enterprise (“Agency RMBS”).

On March 29, 2017, the Company issued and sold 5,175,000 shares of its common stock, par value $0.01 per share, raising approximately $81.1 million after underwriting discounts and commissions but before expenses of approximately $229,000. All of the net proceeds were used to invest on a temporary basis in RMBS pending re-deployment of a substantial portion of those proceeds into the acquisition of MSRs.

The Company is party to a management agreement (the “Management Agreement”) with Cherry Hill Mortgage Management, LLC (the “Manager”), a Delaware limited liability company established by Mr. Stanley Middleman. The Manager is a party to a Services Agreement with Freedom Mortgage Corporation (“Freedom Mortgage”) which is owned and controlled by Mr. Middleman. The Manager is owned by a “blind trust” for the benefit of Mr. Middleman. For a further discussion of the Management Agreement, see Note 7.

The Company has elected to be taxed as a real estate investment trust (“REIT”), as defined under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its short taxable year ended December 31, 2013. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income that will not be qualifying income for REIT purposes.
XML 21 R10.htm IDEA: XBRL DOCUMENT v3.7.0.1
Basis of Presentation and Significant Accounting Policies
 6 Months Ended
Jun. 30, 2017
Basis of Presentation and Significant Accounting Policies [Abstract]  
Basis of Presentation and Significant Accounting Policies
Note 2 — Basis of Presentation and Significant Accounting Policies

Basis of Accounting

The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein.

Emerging Growth Company Status

On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated interim financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated interim financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard.

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of: the fair value of Excess MSRs and MSRs (collectively, “Servicing Related Assets”); RMBS and derivatives; credit losses, including the period of time during which the Company anticipates an increase in the fair values of RMBS sufficient to recover unrealized losses on those RMBS; and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the interim consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company’s estimates are inherently subjective in nature. Actual results could differ from the Company’s estimates, and the differences may be material.

Risks and Uncertainties

In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing.

The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost.
 
Investments in RMBS

Classification – The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income (loss), to the extent impairment losses, if any, are considered temporary. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described below.

Fair value is determined under the guidance of Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”). The Company determines fair value of its RMBS investments based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. Management’s judgment is used to arrive at the fair values of RMBS taking into account prices obtained from third-party pricing providers and other applicable market data. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.

Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. Approximately $14.9 million in Agency RMBS purchased, but not yet settled, was payable at June 30, 2017. Approximately $6.2 million in Agency RMBS purchased, but not yet settled, was payable at December 31, 2016. All RMBS sold in the year ended December 31, 2016 were settled prior to year-end.

Revenue Recognition – Interest income from coupon payments is accrued based on the outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are accreted into interest income over the projected lives of the securities using the effective interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus on prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately$4.3 million and $2.0 million in interest income was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets. For further discussion on Receivables and other assets, see Note 13.

Impairment – The Company evaluates its RMBS, on a quarterly basis, to assess whether a decline in the fair value below the amortized cost basis is an other-than-temporary impairment (“OTTI”). The presence of OTTI is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if the Company (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security’s amortized cost basis, even if the Company does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment is recognized currently in earnings and the cost basis of the security is adjusted. However, if the Company does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the OTTI is separated into (i) the estimated amount relating to credit loss, or the credit component, and (ii) the amount relating to all other factors, or the non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted into interest income in accordance with the effective interest method. The Company recorded approximately $77,000 of OTTI charges during the three month and six month periods ended June 30, 2017. OTTI recorded during the year ended December 31, 2016 was approximately $173,000. OTTI has been classified within “Realized gain (loss) on RMBS, net” on the consolidated statements of income.

Investments in Excess MSRs

As a result of the Company’s sale of its remaining Excess MSRs in February 2017, there were no Excess MSRs at June 30, 2017.
 
Classification – The Company had elected the fair value option to record its investments in Excess MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, the Company recorded a valuation adjustment on its investments in Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. In determining the valuation of Excess MSRs in accordance with ASC 820, management used internally developed models that were primarily based on observable market-based inputs but which also included unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.

Revenue Recognition – Excess MSRs were aggregated into pools as applicable. Each pool of Excess MSRs was accounted for in the aggregate. Interest income for Excess MSRs was accreted into interest income on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount over the expected life of the underlying mortgages. Changes to expected cash flows resulted in a cumulative retrospective adjustment, which were recorded in the period in which the change in expected cash flows occurred. Under the retrospective method, the interest income recognized for a reporting period is measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis was calculated as the present value of estimated future cash flows using an effective yield, which was the yield that equated all past actual and estimated future cash flows to the initial investment. The difference between the fair value of Excess MSRs and their amortized cost basis was recorded on the consolidated statements of income statement as “Unrealized gain (loss) on investments in Excess MSRs.” Fair value was generally determined by discounting the expected future cash flows using discount rates that incorporated the market risks and liquidity premium specific to the Excess MSRs and, therefore, may have differed from their effective yields. The sale of investments in Excess MSRs was recognized upon settlement date. Approximately $1.3 million and $5.6 million in Excess MSR cash flow was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets.

In connection with the sale of its Excess MSRs, the Company elected a settlement date accounting policy to account for the gain on sale from that transaction. For a further discussion of the Company’s sale of its Excess MSRs, see Note 7.

Investments in MSRs

Classification – The Company’s MSRs represent the contractual right to service mortgage loans. The Company has elected the fair value option to record its investments in MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs as well as servicing fee income and servicing expenses are reported on the consolidated statements of income. In determining the valuation of MSRs in accordance with ASC 820, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. For reporting purposes, conventional conforming loans are aggregated into one category.

Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. Approximately $2.4 million and $1.4 million in reimbursable servicing advances were receivable at June 30, 2017 and December 31, 2016, respectively, and have been classified within “Receivables and other assets” on the consolidated balance sheets. Although advances on Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) MSRs made in accordance with the relevant guidelines are generally recoverable, the recoverability of similar advances made on Government National Mortgage Association (“Ginnie Mae”) MSRs may be limited under the rules and regulations of the U.S. Department of Housing and Urban Development, the Department of Veterans Affairs (the “VA”) and the Federal Housing Administration (“FHA”). Because the Ginnie Mae MSRs were only acquired in February 2017, and advances on the Fannie Mae and Freddie Mac MSRs are expected to be recoverable, the Company has determined that no reserves for unrecoverable advances are necessary at June 30, 2017 and December 31, 2016. For further discussion on the Company’s receivables and other assets, including the Company’s servicing advances, see Note 13.
 
Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of comprehensive income. The difference between the fair value of MSRs and their amortized cost basis is recorded on the consolidated statements of income as “Unrealized gain (loss) on investments in MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields.

As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the applicable agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 31, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 2017. Four of the five loans purchased were sold during the six month period ended June 30, 2017, and the Company did not recognize any losses on such sales.

Derivatives and Hedging Activities

Derivative transactions include swaps, swaptions, Treasury futures and “to-be-announced” securities (“TBAs”). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and Treasury futures are used for duration risk and basis risk management purposes. The decision whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise.

The Company’s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments.

Classification – All derivatives are recognized as either assets or liabilities on the consolidated balance sheets and measured at fair value. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under a contract may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable by law. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company believes a legal right of offset exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8.
 
Revenue Recognition – With respect to derivatives that have not been designated as hedges, any net payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized and unrealized gains (losses) on derivatives, net” in the consolidated statements of income.

Cash and Cash Equivalents and Restricted Cash

The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties (i) as collateral against the Company’s derivatives (approximately $13.5 million and $1.1 million at June 30, 2017 and December 31, 2016, respectively), (ii) as collateral for borrowings under its repurchase agreements (approximately $5.8 million and $20.4 million at June 30, 2017 and December 31, 2016, respectively) and (iii) as collateral for outstanding borrowings on a $25 million term loan secured by a pledge of the Company’s portfolio of Excess MSRs ($0.0 at June 30, 2017 and approximately $1.1 million at December 31, 2016). For further information on the restricted cash as it relates to the term loan, see Note 12.

Due to Affiliates

This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7.

Income Taxes

The Company elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. The Company expects to continue to qualify to be treated as a REIT. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its REIT taxable income to stockholders and does not engage in prohibited transactions. The Company’s taxable REIT subsidiaries (“TRSs”), CHMI Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income.

The Company accounts for income taxes in accordance with ASC 740, Income Taxes. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties.
 
Realized Gain (Loss) on Investments, Net

The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands):
 
  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
  
2017
  
2016
  
2017
  
2016
 
Realized gain (loss) on RMBS, net
            
Gain on RMBS
 
$
-
  
$
235
  
$
-
  
$
555
 
Loss on RMBS
  
(77
)
  
-
   
(333
)
  
-
 
Net realized gain (loss) on RMBS
  
(77
)
  
235
   
(333
)
  
555
 
Realized gain (loss) on derivatives, net
  
(1,797
)
  
(299
)
  
(2,814
)
  
(1,760
)
Unrealized gain (loss) on derivatives, net
  
(4,633
)
  
(1,228
)
  
(3,551
)
  
(6,426
)
Realized gain (loss) on Excess MSRs, net
  
-
   
-
   
6,678
   
-
 
Unrealized gain (loss) on Excess MSRs, net
  
-
   
(149
)
  
-
   
(2,456
)
Unrealized gain (loss) on MSRs, net
  
(4,507
)
  
(3,076
)
  
7,805
   
(5,308
)
Realized gain (loss) on acquired assets, net
  
-
   
-
   
-
   
-
 
Total
 
$
(11,014
)
 
$
(4,517
)
 
$
7,785
  
$
(15,395
)
 
Repurchase Agreements and Interest Expense

The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis.

Dividends Payable

Because the Company is organized and operated as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly and special dividend payments. The Company accrues the dividend payable on the dividend declaration date, which causes an offsetting reduction in retained earnings as of the dividend declaration date.

Comprehensive Income

Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale.

Recent Accounting Pronouncements

Revenue Recognition – In May 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers, which supersedes the revenue recognition requirements in ASC 606, Revenue Recognition, and most industry-specific guidance throughout the Industry Topics of the Codification. Under the new revenue recognition guidance, entities are required to identify the contract with a customer, identify the performance obligations in the contract, determine the transaction price, allocate the transaction price to the performance obligations in the contract and recognize revenue when the entity satisfies a performance obligation. In April 2015, the FASB voted for a one-year deferral of the effective date, resulting in this new guidance being effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017. Subsequent to the initial issuance, the FASB has continued to issue updates to this guidance to provide additional clarification and implementation instructions to issuers regarding (i) principal versus agent considerations, (ii) identifying performance obligations, (iii) licensing, and (iv) narrow-scope improvements and practical expedients relating to assessing collectability, presentation of sales taxes, non-cash consideration, and completed contracts and contract modifications at transition. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU No. 2014-09. The Company evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans, "the Company" considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. As a result, the Company does not expect the adoption of ASU No. 2014-09 to have a material impact on its consolidated financial statements.
 
Credit Losses − In June 2016, the FASB issued ASU 2016-13, Financial Instruments—Credit Losses, an accounting standards update that changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on Available-for-Sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. This guidance requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. The Company is evaluating the adoption of this ASU.

Statement of Cash Flows − In August 2016, the FASB issued ASU 2016-15, Classification of Certain Cash Receipts and Cash Payments, an accounting standards update that amends the guidance on the classification of certain cash receipts and cash payments presented within the statement of cash flows to reduce the existing diversity in practice. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements.

Income Taxes − In October 2016, the FASB issued ASU 2016-16, Income Taxes, an accounting standards update that amends the guidance on the classification of income taxes related to the intra-entity transfer of assets other than inventory. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements. However, the significance of adoption is dependent on the nature of the transactions and corresponding tax laws in effect at the time of adoption.

Restricted Cash − In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows, an accounting standards update that amends the guidance on restricted cash within the statement of cash flows. The update amends the classification of restricted cash and cash equivalents to be included within cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The adoption will impact the presentation of the cash flows, but will not otherwise have a material impact on the consolidated results of operations or financial condition.

Changes in Presentation

Certain prior period amounts have been reclassified to conform to current period presentation.
XML 22 R11.htm IDEA: XBRL DOCUMENT v3.7.0.1
Segment Reporting
 6 Months Ended
Jun. 30, 2017
Segment Reporting [Abstract]  
Segment Reporting
Note 3 — Segment Reporting

The Company conducts its business through the following segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) “All Other” which consists primarily of general and administrative expenses, including fees paid to the Company’s directors and management fees and reimbursements paid to the Manager pursuant to the Management Agreement (See Note 7). For segment reporting purposes, the Company does not allocate interest income on short-term investments or general and administrative expenses.

Summary financial data with respect to the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):

  
Servicing
Related Assets
  
RMBS
  
All Other
  
Total
 
Three Months Ended June 30, 2017
            
Interest income
 
$
-
  
$
10,002
  
$
-
  
$
10,002
 
Interest expense
  
123
   
4,169
   
-
   
4,292
 
Net interest income
  
(123
)
  
5,833
   
-
   
5,710
 
Servicing fee income
  
5,493
   
-
   
-
   
5,493
 
Servicing costs
  
991
   
-
   
-
   
991
 
Net servicing income
  
4,502
   
-
   
-
   
4,502
 
Other income
  
(4,507
)
  
(6,507
)
  
-
   
(11,014
)
Other operating expenses
  
-
   
-
   
2,207
   
2,207
 
(Benefit from) provision for corporate business taxes
  
(1,344
)
  
-
   
-
   
(1,344
)
Net income (loss)
 
$
1,216
 
 
$
(674
)
 
$
(2,207
)
 
$
(1,665
)
Three Months Ended June 30, 2016
                
Interest income
 
$
3,085
  
$
4,050
  
$
-
  
$
7,135
 
Interest expense
  
333
   
1,552
   
-
   
1,885
 
Net interest income
  
2,752
   
2,498
   
-
   
5,250
 
Servicing fee income
  
1,574
   
-
   
-
   
1,574
 
Servicing costs
  
501
   
-
   
-
   
501
 
Net servicing income
  
1,073
   
-
   
-
   
1,073
 
Other income
  
(3,225
)
  
(1,292
)
  
-
   
(4,517
)
Other operating expenses
  
-
   
-
   
1,512
   
1,512
 
(Benefit from) provision for corporate business taxes
  
10
   
-
   
-
   
10
 
Net income (loss)
 
$
590
  
$
1,206
  
$
(1,512
)
 
$
284
 
Six Months Ended June 30, 2017
                
Interest income
 
$
523
  
$
15,557
  
$
-
  
$
16,080
 
Interest expense
  
237
   
6,486
   
-
   
6,723
 
Net interest income
  
286
   
9,071
   
-
   
9,357
 
Servicing fee income
  
10,067
   
-
   
-
   
10,067
 
Servicing costs
  
2,218
   
-
   
-
   
2,218
 
Net servicing income
  
7,849
   
-
   
-
   
7,849
 
Other income
  
14,483
   
(6,698
)
  
-
   
7,785
 
Other operating expenses
  
-
   
-
   
4,074
   
4,074
 
(Benefit from) provision for corporate business taxes
  
(5
)
  
-
   
-
   
(5
)
Net income (loss)
 
$
22,623
  
$
2,373
  
$
(4,074
)
 
$
20,922
 
Six Months Ended June 30, 2016
                
Interest income
 
$
4,529
  
$
7,794
  
$
-
  
$
12,323
 
Interest expense
  
673
   
2,869
   
-
   
3,542
 
Net interest income
  
3,856
   
4,925
   
-
   
8,781
 
Servicing fee income
  
3,069
   
-
   
-
   
3,069
 
Servicing costs
  
903
   
-
   
-
   
903
 
Net servicing income
  
2,166
   
-
   
-
   
2,166
 
Other income
  
(7,764
)
  
(7,631
)
  
-
   
(15,395
)
Other operating expenses
  
-
   
-
   
3,010
   
3,010
 
(Benefit from) provision for corporate business taxes
  
(580
)
  
-
   
-
   
(580
)
Net income (loss)
 
$
(1,162
)
 
$
(2,706
)
 
$
(3,010
)
 
$
(6,878
)
 
Balance Sheet
 
June 30, 2017
            
Investments
 
$
74,455
  
$
1,378,434
  
$
-
  
$
1,452,889
 
Other assets
  
5,768
   
30,523
   
33,447
   
69,738
 
Total assets
  
80,223
   
1,408,957
   
33,447
   
1,522,627
 
Debt
  
35,500
   
1,197,440
   
-
   
1,232,940
 
Other liabilities
  
2,662
   
20,942
   
10,456
   
34,060
 
Total liabilities
  
38,162
   
1,218,382
   
10,456
   
1,267,000
 
Book value
 
$
42,061
  
$
190,575
  
$
22,991
  
$
255,627
 

December 31, 2016
            
Investments
 
$
61,263
  
$
671,904
  
$
-
  
$
733,167
 
Other assets
  
8,826
   
32,495
   
18,390
   
59,711
 
Total assets
  
70,089
   
704,399
   
18,390
   
792,878
 
Debt
  
22,886
   
594,615
   
-
   
617,501
 
Other liabilities
  
2,481
   
9,490
   
7,397
   
19,368
 
Total liabilities
  
25,367
   
604,105
   
7,397
   
636,869
 
Book value
 
$
44,722
  
$
100,294
  
$
10,993
  
$
156,009
 
XML 23 R12.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in RMBS
 6 Months Ended
Jun. 30, 2017
Investments in RMBS [Abstract]  
Investments in RMBS
Note 4 — Investments in RMBS

All of the Company’s RMBS are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income except for securities that are OTTI (dollars in thousands):

Summary of RMBS Assets

As of June 30, 2017

 
Original
Face
Value
    
Gross Unrealized
    
Number
of
Securities
 
Weighted Average
 
Asset Type
   
Book
Value
  
Gains
  
Losses
  
Carrying
Value(A)
   
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
RMBS
                  
 
         
Fannie Mae
 
$
933,876
  
$
887,558
  
$
2,951
  
$
(5,308
)
 
$
885,201
   
123
 
(B)
  
3.80
%
  
3.60
%
  
26
 
Freddie Mac
  
450,161
   
426,039
   
1,418
   
(2,201
)
  
425,256
   
52
 
(B)
  
3.79
%
  
3.60
%
  
26
 
CMOs
  
74,225
   
63,649
   
4,328
   
-
   
67,977
   
15
 
Unrated
  
5.04
%
  
5.33
%
  
12
 
Total/Weighted Average
 
$
1,458,262
  
$
1,377,246
  
$
8,697
  
$
(7,509
)
 
$
1,378,434
   
190
 
 
  
3.85
%
  
3.68
%
  
25
 
 
As of December 31, 2016

Original
Face
 Value
   
Gross Unrealized
  
Number
of
Securities
 
Weighted Average
 
Asset Type
 
Book
 Value
 
Gains
 
Losses
 
Carrying
Value(A)
  
Rating
Coupon
 
Yield(C)
 
 
Maturity
(Years)(D)
 
RMBS
            
 
      
Fannie Mae
 
$
493,645
  
$
454,012
  
$
1,517
  
$
(6,592
)
 
$
448,937
   
68
 
(B)
  
3.74
%
  
3.52
%
  
24
 
Freddie Mac
  
222,469
   
200,207
   
587
   
(2,691
)
  
198,103
   
27
 
(B)
  
3.62
%
  
3.44
%
  
26
 
CMOs
  
34,596
   
24,086
   
857
   
(79
)
  
24,864
   
9
 
Unrated
  
4.78
%
  
4.24
%
  
12
 
Total/Weighted Average
 
$
750,710
  
$
678,305
  
$
2,961
  
$
(9,362
)
 
$
671,904
   
104
 
 
  
3.74
%
  
3.53
%
  
24
 
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity.

Summary of RMBS Assets by Maturity

As of June 30, 2017

 
Original
Face
Value
    
Gross Unrealized
    
Number
of
Securities
 
Weighted Average
 
Years to Maturity
   
Book
Value
  
Gains
  
Losses
  
Carrying
Value(A)
   
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
5-10 Years
 
$
16,069
  
$
16,696
  
$
283
  
$
(262
)
 
$
16,717
   
3
 
(B)
  
4.27
%
  
4.09
%
  
8
 
Over 10 Years
  
1,442,193
   
1,360,550
   
8,414
   
(7,247
)
  
1,361,717
   
187
 
(B)
  
3.85
%
  
3.67
%
  
26
 
Total/Weighted Average
 
$
1,458,262
  
$
1,377,246
  
$
8,697
  
$
(7,509
)
 
$
1,378,434
   
190
 
 
  
3.85
%
  
3.68
%
  
25
 

As of December 31, 2016

 
Original
Face
Value
    
Gross Unrealized
    
Number
of
Securities
 
Weighted Average
 
Years to Maturity
   
Book
Value
  
Gains
  
Losses
  
Carrying
Value(A)
   
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
5-10 Years
 
$
16,069
  
$
17,110
  
$
185
  
$
(454
)
 
$
16,841
   
3
 
(B)
  
4.18
%
  
3.94
%
  
8
 
Over 10 Years
  
734,641
   
661,195
   
2,776
   
(8,908
)
  
655,063
   
101
 
(B)
  
3.73
%
  
3.52
%
  
24
 
Total/Weighted Average
 
$
750,710
  
$
678,305
  
$
2,961
  
$
(9,362
)
 
$
671,904
   
104
 
 
  
3.74
%
  
3.53
%
  
24
 
 
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity.

At June 30, 2017 and December 31, 2016, the Company pledged Agency RMBS investments with a carrying value of approximately $1,251.8 million and $608.6 million, respectively, as collateral for repurchase agreements. At June 30, 2017 and December 31, 2016, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives.

Unrealized losses that are considered OTTI are recognized currently in earnings. Based on management’s analysis of these securities, the performance of the underlying loans and changes in market factors, management determined that unrealized losses as of the balance sheet date on the Company’s securities were primarily the result of changes in market factors, rather than issuer-specific credit impairment, and such losses were considered temporary. The Company performed analyses in relation to such securities, using management’s best estimate of their cash flows, which support its belief that the carrying values of such securities were fully recoverable over their expected holding period. Such market factors include changes in market interest rates and credit spreads and certain macroeconomic events, the events of which will not directly impact the Company’s ability to collect amounts contractually due. Management continually evaluates the credit status of each of the Company’s securities and the collateral supporting those securities. This evaluation includes a review of the credit of the issuer of the security (if applicable), the credit rating of the security (if applicable), the key terms of the security (including credit support), debt service coverage and loan to value ratios, the performance of the pool of underlying loans and the estimated value of the collateral supporting such loans, including the effect of local, industry and broader economic trends and factors. Significant judgment is required in this analysis. In connection with the above, the Company weighs the fact that all of its investments in RMBS are guaranteed by U.S. government agencies or U.S. government sponsored entities.

The Company recorded approximately $77,000 of OTTI charges during the three month and six month periods ended June 30, 2017. There was approximately $173,000 of OTTI recorded during the year ended December 31, 2016.

The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands):

RMBS Unrealized Loss Positions

As of June 30, 2017
 
              
Weighted Average
 
Duration in Loss
Position
 
Original
Face
Value
  
Book
Value
  
Gross
Unrealized
Losses
  
Carrying
Value(A)
  
Number
of
Securities
 
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
Less than Twelve Months
 
$
583,304
  
$
562,462
  
$
(7,187
)
 
$
555,275
   
77
 
(B)
  
3.69
%
  
3.48
%
  
25
 
Twelve or More Months
  
9,825
   
9,921
   
(323
)
  
9,598
   
1
 
(B)
  
3.50
%
  
3.29
%
  
29
 
Total/Weighted Average
 
$
593,129
  
$
572,383
  
$
(7,510
)
 
$
564,873
   
78
 
 
  
3.69
%
  
3.48
%
  
25
 


As of December 31, 2016
              
Weighted Average
 
Duration in Loss
Position
 
Original
Face
Value
  
Book
Value
  
Gross
Unrealized
Losses
  
Carrying
Value(A)
  
Number
of
Securities
 
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
Less than Twelve Months
 
$
494,847
  
$
476,129
  
$
(9,362
)
 
$
466,767
   
68
 
(B)
  
3.65
%
  
3.40
%
  
25
 
Twelve or More Months
  
-
   
-
   
-
   
-
   
-
    
-
%
  
-
%
  
-
 
Total/Weighted Average
 
$
494,847
  
$
476,129
  
$
(9,362
)
 
$
466,767
   
68
 
 
  
3.65
%
  
3.40
%
  
25
 
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, the Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity.
XML 24 R13.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in Servicing Related Assets
 6 Months Ended
Jun. 30, 2017
Investments in Servicing Related Assets [Abstract]  
Investments in Servicing Related Assets
Note 5 — Investments in Servicing Related Assets

Excess MSRs

In October 2013, the Company entered into an agreement (“Excess MSR Agreement 1”) with Freedom Mortgage to invest in Excess MSRs with Freedom Mortgage. Freedom Mortgage originated the mortgage servicing rights on the related pool of residential fixed rate Ginnie Mae-eligible FHA and VA mortgage loans with an aggregate UPB of approximately $10.0 billion (“Excess MSR Pool 1”). Freedom Mortgage was entitled to receive an initial weighted average total mortgage servicing amount of approximately 28 basis points (“bps”) on the performing UPB, as well as any ancillary income from Excess MSR Pool 1. Pursuant to Excess MSR Agreement 1, Freedom Mortgage performed all servicing functions and advancing functions related to Excess MSR Pool 1 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 8 bps. The remainder, or “excess mortgage servicing amount,” was initially equal to a weighted average of 20 bps.

Pursuant to Excess MSR Agreement 1, the Company acquired the right to receive 85% of the excess mortgage servicing amount on Excess MSR Pool 1 and, subject to certain limitations and pursuant to a recapture agreement (the “Excess MSR Pool 1—Recapture Agreement”), 85% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represented refinancings of loans in Excess MSR Pool l (which loans then become part of Excess MSR Pool 1) for approximately $60.6 million. Freedom Mortgage co-invested, pari passu with the Company, in 15% of the Excess MSRs. Freedom Mortgage, as servicer, also retained the ancillary income and the servicing obligations and liabilities.

In October 2013, the Company entered into an agreement (“Excess MSR Agreement 2”) with Freedom Mortgage to invest with Freedom Mortgage in another pool of Excess MSRs. Freedom Mortgage acquired the mortgage servicing rights from a third-party seller on a pool of residential Ginnie Mae-eligible VA hybrid adjustable rate mortgage loans with an outstanding aggregate principal balance of approximately $10.7 billion (“Excess MSR Pool 2”). Freedom Mortgage was entitled to receive an initial weighted average total mortgage servicing amount of 44 bps on the performing UPB, as well as any ancillary income from Excess MSR Pool 2. Pursuant to Excess MSR Agreement 2, Freedom Mortgage performed all servicing functions and advancing functions related to Excess MSR Pool 2 for a basic fee (the amount representing reasonable compensation for performing the servicing duties) of 10 bps. Therefore, the remainder, or “excess mortgage servicing amount” was initially equal to a weighted average of 34 bps.

Pursuant to Excess MSR Agreement 2, the Company acquired the right to receive 50% of the excess mortgage servicing amount on Excess MSR Pool 2 and, subject to certain limitations and pursuant to a recapture agreement (the “Excess MSR Pool 2—Recapture Agreement”), 50% of the Excess MSRs on future mortgage loans originated by Freedom Mortgage that represented refinancings of loans in Excess MSR Pool 2 (which loans then become part of Excess MSR Pool 2) for approximately $38.4 million. Freedom Mortgage co-invested, pari passu with the Company, in 50% of the Excess MSRs. Freedom Mortgage, as servicer, also retained the ancillary income and the servicing obligations and liabilities.

In October 2013, the Company also entered into a flow and bulk Excess MSR purchase agreement related to future purchases of Excess MSRs from Freedom Mortgage (the “Flow and Bulk Excess MSR Purchase Agreement”). On February 28, 2014, pursuant to the Flow and Bulk Excess MSR Purchase Agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the first quarter of 2014 with an UPB of approximately $76.8 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $567,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.

On March 31, 2014, pursuant to the Flow and Bulk Excess MSR Purchase Agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by a third party originator with an aggregate UPB of approximately $159.8 million. Freedom Mortgage purchased the MSRs on these mortgage loans from a third party on January 31, 2014. The Company acquired an approximate 71% interest in the Excess MSRs for approximately $946,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.
 
On June 30, 2014, pursuant to the Flow and Bulk Excess MSR purchase agreement, the Company purchased from Freedom Mortgage Excess MSRs on mortgage loans originated by Freedom Mortgage during the second quarter of 2014 with an aggregate UPB of approximately $98.1 million. The Company acquired an approximate 85% interest in the Excess MSRs for approximately $661,000. The terms of the purchase included recapture provisions that were the same as those in the Excess MSR acquisition agreements the Company entered into with Freedom Mortgage in October 2013.

The mortgage loans underlying the Excess MSRs purchased in 2014 are collectively referred to as “Excess MSR Pool 2014,” and the recapture provisions, which are identical, are collectively referred to as the “Excess MSR Pool 2014—Recapture Agreement.”

On November 15, 2016, the Company agreed to sell all of its Excess MSRs back to Freedom Mortgage. Excess MSR Pool 1 and Excess MSR Pool 2014 were sold on November 15, 2016, and Excess MSR Pool 2 was sold on February 1, 2017. Each of the Excess MSR purchase agreements was terminated at the time the related pool(s) of Excess MSRs were sold. See Note 7.

MSRs

On May 29, 2015, in conjunction with the acquisition of Aurora, the Company acquired MSRs on conventional mortgage loans with an aggregate UPB of approximately $718.4 million.

On June 10, 2015, the Company agreed to transfer the direct servicing of the MSR portfolio to Freedom Mortgage pursuant to a subservicing agreement with Freedom Mortgage. The transfer occurred in September 2015. Pending the transfer, the former servicing employees of Aurora, now employees of Freedom Mortgage, directly serviced the portfolio for Aurora. The servicing was provided at cost pursuant to the Management Agreement with the Manager and the Services Agreement between the Manager and Freedom Mortgage. The cost for such services was included in servicing costs on the consolidated statements of income (loss).

Aurora subsequently acquired from third parties four portfolios of MSRs on loans owned or securitized by Fannie Mae or Freddie Mac with an aggregate UPB of approximately $3.4 billion as of their respective closing dates.

In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora’s MSR portfolio as directed by Aurora. See Note 7.

See Note 7 for a description of the Company’s acquisition of MSRs from Freedom Mortgage in connection with the sale by the Company of its Excess MSRs.

The following is a summary of the Company’s Servicing Related Assets (dollars in thousands):

Servicing Related Assets Summary

As of June 30, 2017
 
  
Unpaid
Principal
Balance
  
Cost Basis
  
Carrying
Value(A)
  
Weighted
Average
Coupon
  
Weighted
Average
Maturity
(Years)(B)
  
Changes in
Fair Value
Recorded in
Other Income
(Loss)
 
MSRs
     
 
            
Conventional
 
$
3,317,157
  
$
34,155
(C)
 
$
31,491
   
3.83
%
  
23.4
   
(2,664
)
Government
  
4,290,023
   
32,495
(C)
  
42,964
   
3.36
%
  
28.3
   
10,469
 
Total
 
$
7,607,180
  
$
66,650
  
$
74,455
   
3.56
%
  
26.1
  
$
7,805
 
 
As of December 31, 2016

  
Unpaid
Principal
Balance
  
Cost Basis
  
Carrying
Value(A)
  
Weighted
Average
Coupon
  
Weighted
Average
Maturity
(Years)(B)
  
Changes in
Fair Value
Recorded in
Other Income
(Loss)(D)
 
Excess MSR Pool 2
  
6,053,142
   
19,754
(E)
  
28,526
   
2.96
%
  
26.3
   
(493
)
Excess MSR Pool 2 - Recapture Agreement
  
-
   
1,187
(E)
  
866
       
-
   
742
 
Conventional MSRs
  
3,262,181
   
35,156
(C)
  
31,871
   
3.81
%
  
23.7
   
(3,285
)
Total
 
$
9,315,323
  
$
56,097
  
$
61,263
   
3.26
%
  
25.4
  
$
(3,036
)
 
(A)
Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9).
(B)
The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
(C)
MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns.
(D)
The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool.
(E)
The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.

The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets:

Geographic Concentration of Servicing Related Assets

As of June 30, 2017

  
Percentage of Total Outstanding
Unpaid Principal Balance
 
California
  
12.0
%
New Jersey
  
7.9
%
Florida
  
6.2
%
Texas
  
5.4
%
Utah
  
5.3
%
All other
  
63.2
%
Total
  
100.0
%

As of December 31, 2016

  
Percentage of Total Outstanding
Unpaid Principal Balance
 
Texas
  
10.0
%
California
  
8.9
%
Florida
  
6.7
%
Virginia
  
5.9
%
North Carolina
  
5.8
%
Georgia
  
5.8
%
New Jersey
  
5.6
%
Washington
  
5.5
%
Colorado
  
5.2
%
All other
  
40.6
%
Total
  
100.0
%

Geographic concentrations of investments expose the Company to the risk of economic downturns within the relevant states. Any such downturn in a state where the Company holds significant investments could affect the underlying borrower’s ability to make the mortgage payment and, therefore, could have a meaningful, negative impact on the Company’s Servicing Related Assets.
XML 25 R14.htm IDEA: XBRL DOCUMENT v3.7.0.1
Equity and Earnings per Share
 6 Months Ended
Jun. 30, 2017
Equity and Earnings per Share [Abstract]  
Equity and Earnings per Share
Note 6 — Equity and Earnings per Share

Equity Incentive Plan

During 2013, the board of directors approved and the Company adopted the Cherry Hill Mortgage Investment Corporation 2013 Equity Incentive Plan (“2013 Plan”). The 2013 Plan provides for the grant of options to purchase shares of the Company’s common stock, stock awards, stock appreciation rights, performance units, incentive awards and other equity-based awards, including long term incentive plan units (“LTIP-OP Units”) of the Operating Partnership.

The following tables present certain information about the 2013 Plan as of the dates indicated:

Equity Incentive Plan Information

  
LTIP-OP Units
  
Shares of Common Stock
  
Number of Securities
Remaining Available For
Future Issuance Under Equity
  
Issuance
 
  
Issued
  
Forfeited
  
Issued
  
Forfeited
  
Compensation Plans
  
Price
 
December 31, 2016
  
(140,350
)
  
916
   
(28,503
)
  
3,155
   
1,335,218
    
Number of securities issued or to be issued upon exercise
  
-
   
-
   
-
   
-
   
-
    
March 31, 2017
  
(140,350
)
  
916
   
(28,503
)
  
3,155
   
1,335,218
    
Number of securities issued or to be issued upon exercise
  
(38,150
)
  
-
   
(8,199
)
  
-
   
(46,349
)
 
$
18.30
 
June 30, 2017
  
(178,500
)
  
916
   
(36,702
)
  
3,155
   
1,288,869
     

LTIP-OP Units are a special class of partnership interest in the Operating Partnership. LTIP-OP Units may be issued to eligible participants for the performance of services to or for the benefit of the Operating Partnership. Initially, LTIP-OP Units do not have full parity with the Operating Partnership’s common units of limited partnership interest (“OP Units”) with respect to liquidating distributions; however, LTIP-OP Units receive, whether vested or not, the same per-unit distributions as OP Units and are allocated their pro-rata share of the Operating Partnership’s net income or loss. Under the terms of the LTIP-OP Units, the Operating Partnership will revalue its assets upon the occurrence of certain specified events, and any increase in the Operating Partnership’s valuation from the time of grant of the LTIP-OP Units until such event will be allocated first to the holders of LTIP-OP Units to equalize the capital accounts of such holders with the capital accounts of the holders of OP Units. Upon equalization of the capital accounts of the holders of LTIP-OP Units with the other holders of OP Units, the LTIP-OP Units will achieve full parity with OP Units for all purposes, including with respect to liquidating distributions. If such parity is reached, vested LTIP-OP Units may be converted into an equal number of OP Units at any time and, thereafter, enjoy all the rights of OP Units, including redemption rights. Each LTIP-OP Unit awarded is deemed equivalent to an award of one share of the Company’s common stock under the 2013 Plan and reduces the 2013 Plan’s share authorization for other awards on a one-for-one basis.

An LTIP-OP Unit and a share of common stock of the Company have substantially the same economic characteristics in as much as they effectively share equally in the net income or loss of the Operating Partnership. Holders of LTIP-OP Units that have reached parity with OP Units have the right to redeem their LTIP-OP Units, subject to certain restrictions. The redemption is required to be satisfied, in cash, or at the Company’s option, the Company may purchase the OP Units for common stock, calculated as follows: one share of the Company’s common stock, or cash equal to the fair value of a share of the Company’s common stock at the time of redemption, for each LTIP-OP Unit. When an LTIP-OP Unit holder redeems an OP Unit (as described above), non-controlling interest in the Operating Partnership is reduced and the Company’s equity is increased.

LTIP-OP Units vest ratably over the first three annual anniversaries of the grant date. The fair value of each LTIP-OP Unit was determined based on the closing price of the Company’s common stock on the applicable grant date in all other cases.

On January 27, 2014, the Company granted each of the independent directors pursuant to the 2013 Plan $10,000 (based on the closing price on the grant date) of common stock (530 shares each for a total of 1,590 shares), which were fully vested on the date of grant, and $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (2,651 shares each for a total of 7,953 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. The restricted shares are no longer subject to forfeiture and are vested.
 
On September 9, 2015, the Company granted each of the independent directors pursuant to the 2013 Plan $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (3,165 each for a total of 9,495 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. The shares are no longer subject to forfeiture and are vested.

On June 15, 2016, pursuant to the 2013 Plan, the Company granted each of the independent directors $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (3,155 shares each for a total of 9,465 shares) which were subject to forfeiture in certain circumstances within one year from the grant date. This unrecognized share-based compensation expense is expected to be recognized ratably over the vesting period. The 3,155 shares granted to Mr. Kislak were forfeited when he resigned as a director of the Company on September 19, 2016. The forfeited shares have been returned to the shares available for future issuance under the 2013 Plan.

On June 14, 2017, the Company granted each of the independent directors pursuant to the 2013 Plan $50,000 (based on the closing price on the date of grant) of restricted shares of common stock (2,733 each for a total of 8,199 shares). These shares are subject to forfeiture in certain circumstances prior to the one-year anniversary of the grant date.

As of June 30, 2017, a total of 98,934 LTIP-OP Units have vested. The Company recognized approximately $146,000 and $135,000 in share-based compensation expense in the three month periods ended June 30, 2017 and 2016, respectively. The Company recognized approximately $281,000 and $282,000 in share-based compensation expense in the six month periods ended June 30, 2017 and 2016, respectively. There was approximately $1.3 million of total unrecognized share-based compensation expense as of June 30, 2017, related to non-vested LTIP-OP Units. This unrecognized share-based compensation expense is expected to be recognized ratably over the remaining vesting period of up to three years. The aggregate expense related to the LTIP-OP Unit grants is presented as “General and administrative expense” in the Company’s consolidated income statement.

As of June 30, 2017, 1,288,869 shares of common stock remain available for future issuance under the 2013 Plan.

Non-Controlling Interests in Operating Partnership

Non-controlling interests in the Operating Partnership in the accompanying consolidated interim financial statements relate to LTIP-OP Units in the Operating Partnership and common units of limited partnership interest in the Operating Partnership issued upon conversion of LTIP-OP Units, in either case, held by parties other than the Company.

As of June 30, 2017, the non-controlling interest holders in the Operating Partnership owned 177,584 LTIP-OP Units, or approximately 1.4% of the Operating Partnership. Pursuant to ASC 810, Consolidation, changes in a parent’s ownership interest (and transactions with non-controlling interest unit holders in the Operating Partnership) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The carrying amount of the non-controlling interest will be adjusted to reflect the change in its ownership interest in the subsidiary, with the offset to equity attributable to the Company.

Earnings per Share

The Company is required to present both basic and diluted earnings per share (“EPS”). Basic EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding during each period. Diluted EPS is calculated by dividing net income (loss) applicable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period. In accordance with ASC 260, Earnings Per Share, if there is a loss from continuing operations, the common stock equivalents are deemed anti-dilutive and earnings (loss) per share is calculated excluding the potential common shares.
 
The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):

Earnings per Share Information

  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
  
2017
  
2016
  
2017
  
2016
 
Numerator:
            
Net income allocable to common stockholders and participating securities
 
$
(1,665
)
 
$
284
  
$
20,922
  
$
(6,878
)
Net income allocable to common stockholders
 
$
(1,546
)
 
$
283
  
$
20,629
  
$
(6,780
)
Denominator:
                
Weighted average common shares outstanding
  
12,695,090
   
7,509,543
   
10,164,564
   
7,509,543
 
Weighted average diluted shares outstanding
  
12,701,715
   
7,520,616
   
10,171,031
   
7,519,827
 
Basic and Dilutive:
                
Basic earnings per share
 
$
(0.12
)
 
$
0.04
  
$
2.03
  
$
(0.90
)
Diluted earnings per share
 
$
(0.12
)
 
$
0.04
  
$
2.03
  
$
(0.90
)
 
There were no participating securities or equity instruments outstanding that were anti-dilutive for purposes of calculating earnings per share for the periods presented.
XML 26 R15.htm IDEA: XBRL DOCUMENT v3.7.0.1
Transactions with Affiliates and Affiliated Entities
 6 Months Ended
Jun. 30, 2017
Transactions with Affiliates and Affiliated Entities [Abstract]  
Transactions with Affiliates and Affiliated Entities
Note 7 — Transactions with Affiliates and Affiliated Entities

Manager

The Company has entered into the Management Agreement with the Manager, pursuant to which the Manager provides for the day-to-day management of the Company’s operations. The Management Agreement requires the Manager to manage the Company’s business affairs in conformity with the policies that are approved and monitored by the Company’s board of directors. The Management Agreement terminates on October 22, 2020, subject to automatic renewal for successive one-year terms and to certain termination rights. The Manager’s performance is reviewed prior to any renewal and may be terminated by the Company for cause without payment of a termination fee, or may be terminated without cause with payment of a termination fee, as defined in the Management Agreement, equal to three times the average annual management fee amount earned by the Manager during the two four-quarter periods ending as of the end of the most recently completed fiscal quarter prior to the effective date of the termination, upon either the affirmative vote of at least two-thirds of the members of the board of directors or the affirmative vote of the holders of at least a majority of the outstanding common stock. Pursuant to the Management Agreement, the Manager, under the supervision of the Company’s board of directors, formulates investment strategies, arranges for the acquisition of assets, arranges for financing, monitors the performance of the Company’s assets and provides certain advisory, administrative and managerial services in connection with the operations of the Company. For performing these services, the Company pays the Manager the management fee which is payable in cash quarterly in arrears, in an amount equal to 1.5% per annum of the stockholders’ equity (as defined in the Management Agreement).

The Manager is a party to a services agreement (the “Services Agreement”) with Freedom Mortgage, pursuant to which Freedom Mortgage provides to the Manager the personnel, services and resources as needed by the Manager to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the Services Agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against Freedom Mortgage in the event of any breach by the Manager of any of its duties, obligations or agreements under the Management Agreement that arise out of or result from any breach by Freedom Mortgage of its obligations under the Services Agreement. The Services Agreement will terminate upon the termination of the Management Agreement. Pursuant to the Services Agreement, the Manager will make certain payments to Freedom Mortgage in connection with the services provided.  The Management Agreement between the Company and the Manager was negotiated between related parties, and the terms, including fees payable, may not be as favorable to the Company as if it had been negotiated with an unaffiliated third party. At the time the Management Agreement was negotiated, both the Manager and Freedom Mortgage were controlled by Mr. Stanley Middleman, who is also a shareholder of the Company. Ownership of the Manager has been transferred to CHMM Blind Trust, a grantor trust for the benefit of Mr. Middleman.

The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands):

Management Fee to Affiliate

  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
  
2017
  
2016
  
2017
  
2016
 
Management fees
 
$
971
  
$
560
  
$
1,672
  
$
1,120
 
Compensation reimbursement
  
191
   
130
   
382
   
260
 
Total
 
$
1,162
  
$
690
  
$
2,054
  
$
1,380
 
 
Subservicing Agreement

Freedom Mortgage is directly servicing the Company’s portfolio of Fannie Mae and Freddie Mac MSRs pursuant to a subservicing agreement entered into on June 10, 2015. The agreement has an initial term of three (3) years, expiring on September 1, 2018, and is subject to automatic renewal for additional three year terms unless either party chooses not to renew. The agreement may be terminated without cause by either party by giving notice as specified in the agreement.  Under that agreement, Freedom Mortgage agrees to service the applicable mortgage loans in accordance with applicable law and the requirements of the applicable agency. The Company pays fees for specified services.

Joint Marketing Recapture Agreement

In June 2016, Aurora entered into a joint marketing recapture agreement with Freedom Mortgage. Pursuant to this agreement, Freedom Mortgage will attempt to refinance certain mortgage loans underlying Aurora’s MSR portfolio as directed by Aurora. If a loan is refinanced, Aurora will pay Freedom Mortgage a fee for its origination services. Freedom Mortgage will be entitled to sell the loan for its own benefit and will transfer the related MSR to Aurora. The agreement has an initial term of one year, subject to automatic renewals of one year each and subject to termination by either party upon 60 days prior notice. All new loans must qualify for sale to Fannie Mae or Freddie Mac and meet other conditions set forth in the agreement. During the three month period ended June 30, 2017, MSRs on 35 loans with an aggregate UPB of approximately $6.8 million had been received from Freedom Mortgage which generated approximately $5,200 in fees due to Freedom Mortgage. During the six month period ended June 30, 2017, MSRs on 75 loans with an aggregate UPB of approximately $17.0 million had been received from Freedom Mortgage which generated approximately $29,800 in fees due to Freedom Mortgage.

Sale of Excess MSRs

On November 15, 2016, the Company completed the sale of the Excess MSRs in Excess MSR Pool 1 and the Excess MSRs in Excess MSR Pool 2014 to Freedom Mortgage. At the closing, the Company received cash proceeds of approximately $38.0 million, repaid $12.0 million of outstanding borrowings drawn on the Company’s $25 million term loan facility with NexBank SSB (the “NexBank term loan”), with a portion of the cash proceeds and released the Company’s security interests arising under Excess MSR Agreement 1 and the Flow and Bulk Excess MSR Purchase Agreement. The Company invested the remaining cash proceeds in Agency RMBS and expects to redeploy those proceeds into future MSR acquisitions.  The Company completed the sale of the Excess MSRs in Excess MSR Pool 2 to Freedom Mortgage on February 1, 2017. In connection with the sale of those Excess MSRs, Freedom Mortgage transferred to Aurora Ginnie Mae MSRs with a weighted average servicing fee of approximately 30 basis points. The Ginnie Mae MSRs relate to a pool consisting primarily of newly originated Ginnie Mae conforming mortgage loans that had an aggregate UPB of approximately $4.5 billion as of January 31, 2017. At the closing of the sale of the Excess MSRs in Excess MSR Pool 2, the Company repaid the remaining outstanding borrowings drawn on the NexBank term loan with cash on hand.  In addition, the acknowledgment agreement that the Company and Freedom Mortgage entered into with Ginnie Mae at the time of the IPO was terminated.

In connection with the sale transactions, Freedom Mortgage agreed to make 12 monthly yield maintenance payments to the Company beginning in December 2016 aggregating $3.0 million.

See Note 5 for a discussion of the now terminated co-investments in Excess MSRs with Freedom Mortgage. See Note 10 for a discussion of the now terminated acknowledgment agreement among the Company, Freedom Mortgage and Ginnie Mae.

Other Transactions with Affiliated Entities

In March 2017, the Company waived the forfeiture provisions of LTIP-OPs previously granted to Mr. Middleman that otherwise would have been triggered once he no longer was a member of the Board of Directors.
XML 27 R16.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments
 6 Months Ended
Jun. 30, 2017
Derivative Instruments [Abstract]  
Derivative Instruments
Note 8 — Derivative Instruments

Interest Rate Swap Agreements, Swaptions, TBAs and Treasury Futures

In order to help mitigate exposure to higher short-term interest rates in connection with its repurchase agreements, the Company enters into interest rate swap agreements and swaption agreements. Interest rate swap agreements establish an economic fixed rate on related borrowings because the variable-rate payments received on the interest rate swap agreements largely offset interest accruing on the related borrowings, leaving the fixed-rate payments to be paid on the interest rate swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the interest rate swap agreements and actual borrowing rates. A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. The Company’s interest rate swap agreements and swaptions have not been designated as qualifying hedging instruments for GAAP purposes.

In order to help mitigate duration risk and basis risk management, the Company utilizes Treasury futures and forward-settling purchases and sales of RMBS where the underlying pools of mortgage loans are TBAs. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular RMBS to be delivered is not identified until shortly before the TBA settlement date.

The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Non-hedge derivatives
 
June 30, 2017
  
December 31, 2016
 
Notional amount of interest rate swaps
 
$
781,650
  
$
415,850
 
Notional amount of swaptions
  
100,000
   
70,000
 
Notional amount of TBAs, net
  
(17,000
)
  
(6,000
)
Notional amount of Treasury futures
  
-
   
50,000
 
Notional amount of options on Treasury futures
  
-
   
20,000
 
Total notional amount
 
$
864,650
  
$
549,850
 

The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):

  
Notional
Amount
  
Weighted
Average Pay
Rate
  
Weighted
Average
Receive Rate
  
Weighted
Average Years
to Maturity
 
June 30, 2017
 
$
781,650
   
1.78
%
  
1.18
%
  
5.3
 
December 31, 2016
 
$
415,850
   
1.46
%
  
0.90
%
  
4.8
 

The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands):

  
Notional
Amount
  
Weighted
Average Pay
Rate
  
Weighted
Average Receive
Rate(A)
  
Weighted
Average Years
to Maturity
 
June 30, 2017
 
$
100,000
   
2.79
%
  
LIBOR-BBA
%  
10.7
 
December 31, 2016
 
$
70,000
   
2.74
%
  
LIBOR-BBA
%  
10.9
 
 
(A)
Floats in accordance with LIBOR.
 
The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income (loss) for the periods indicated (dollars in thousands):
 
Realized Gains (Losses) on Derivatives

     
Three Months Ended June 30,
  
Six Months Ended June 30,
 
Non-Hedge Derivatives
 
Consolidated Statements of Income (Loss) Location
 
2017
  
2016
  
2017
  
2016
 
Interest rate swaps
 
Realized gain (loss) on derivatives, net
 
$
(436
)
 
$
(398
)
 
$
(595
)
 
$
(1,748
)
Swaptions
 
Realized gain (loss) on derivatives, net
  
-
   
(140
)
  
(69
)
  
(140
)
TBAs
 
Realized gain (loss) on derivatives, net
  
(402
)
  
56
   
(514
)
  
(26
)
Treasury futures
 
Realized gain (loss) on derivatives, net
  
(959
)
  
183
   
(1,636
)
  
154
 
Total
 
 
 
$
(1,797
)
 
$
(299
)
 
$
(2,814
)
 
$
(1,760
)

Offsetting Assets and Liabilities

The Company has netting arrangements in place with all of its derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association (“ISDA”). Under GAAP, if the Company has a valid right of offset, it may offset the related asset and liability and report the net amount. The Company presents interest rate swaps, swaptions and Treasury futures assets and liabilities on a gross basis in its consolidated balance sheets. The Company presents TBA assets and liabilities on a net basis in its consolidated balance sheets. The Company presents repurchase agreements in this section even though they are not derivatives because they are subject to master netting arrangements. However, repurchase agreements are presented on a gross basis. Additionally, the Company does not offset financial assets and liabilities with the associated cash collateral on the consolidated balance sheets.

The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2017

  
Gross
  
Gross
  
Net Amounts
of Assets
  
Gross Amounts Not Offset in the
Consolidated Balance Sheet
   
 
 
Amounts of
Recognized
Assets or
Liabilities
  
Amounts
Offset in the
Consolidated
Balance Sheet
  
Presented in
the
Consolidated
Balance Sheet
  
Financial
Instruments
  
Cash
Collateral
Received
(Pledged)
  
Net Amount
 
Assets
                  
Interest rate swaps
 
$
6,303
  
$
-
  
$
6,303
  
$
(6,303
)
 
$
-
  
$
-
 
Swaptions
  
727
   
-
   
727
   
(727
)
  
-
   
-
 
TBAs
  
76
   
-
   
76
   
(76
)
  
-
   
-
 
Treasury futures
  
-
   
-
   
-
   
-
   
(144
)
   (144) 
Total Assets
 
$
7,106
  
$
-
  
$
7,106
  
$
(7,106
)
 
$
(144
)
 
$
(144
) 
 
 
Liabilities
                        
Repurchase agreements
 
$
1,197,440
  
$
-
  
$
1,197,440
  
$
(1,191,663
)
 
$
(5,777
)
 
$
-
 
Interest rate swaps
  
3,265
   
-
   
3,265
   
10,096
   
(13,361
)
  
-
 
Total Liabilities
 
$
1,200,705
  
$
-
  
$
1,200,705
  
$
(1,181,567
)
 
$
(19,138
)
 
$
-
 
 
As of December 31, 2016

 
Gross
 
Gross
Amounts
 
Net Amounts
of Assets
Presented in
 
Gross Amounts Not Offset in
the Consolidated Balance
Sheet
   
 
Amounts of
Recognized
Assets or
Liabilities
 
Offset in the
Consolidated
Balance
Sheet
 
the
Consolidated
Balance
Sheet
 
Financial
Instruments
 
Cash
Collateral
Received
(Pledged)
 
Net Amount
 
Assets
            
Interest rate swaps
 
$
7,639
  
$
-
  
$
7,639
  
$
(7,639
)
 
$
-
  
$
-
 
Swaptions
  
1,482
   
-
   
1,482
   
(1,482
)
  
-
   
-
 
Total Assets
 
$
9,121
  
$
-
  
$
9,121
  
$
(9,121
)
 
$
-
  
$
-
 
 
 
Liabilities
                        
Repurchase agreements
 
$
594,615
  
$
-
  
$
594,615
  
$
(574,181
)
 
$
(20,434
)
 
$
-
 
Interest rate swaps
  
339
   
-
   
339
   
-
   
(339
)
  
-
 
TBAs
  
75
   
-
   
75
   
(75
)
  
-
   
-
 
Treasury futures
  
280
   
-
   
280
   
526
   
(806
)
  
-
 
Total Liabilities
 
$
595,309
  
$
-
  
$
595,309
  
$
(573,730
)
 
$
(21,579
)
 
$
-
 
XML 28 R17.htm IDEA: XBRL DOCUMENT v3.7.0.1
Fair Value
 6 Months Ended
Jun. 30, 2017
Fair Value [Abstract]  
Fair Value
Note 9 – Fair Value

Fair Value Measurements

ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability.

ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels:

Level 1 inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.

Level 2 inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.

Level 3 unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that management believes market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation.

Recurring Fair Value Measurements

The following is a description of the methods used to estimate the fair values of the Company’s assets and liabilities measured at fair value on a recurring basis, as well as the basis for classifying these assets and liabilities as Level 2 or 3 within the fair value hierarchy. The Company’s valuations consider assumptions that it believes a market participant would consider in valuing the assets and liabilities, the most significant of which are disclosed below. The Company reassesses and periodically adjusts the underlying inputs and assumptions used in the valuations for recent historical experience, as well as for current and expected relevant market conditions.

RMBS

The Company holds a portfolio of RMBS that are classified as available for sale and are carried at fair value in the consolidated balance sheets. The Company determines the fair value of its RMBS based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. As a result, the Company classified 100% of its RMBS as Level 2 fair value assets at June 30, 2017 and December 31, 2016.

Excess MSRs

The Company held a portfolio of Excess MSRs that are reported at fair value in the consolidated balance sheet at December 31, 2016. The Company used a discounted cash flow model to estimate the fair value of these assets. Although Excess MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels and discount rates). As a result, the Company classified 100% of its Excess MSRs as Level 3 fair value assets at December 31, 2016. The Company did not hold any Excess MSRs at June 30, 2017.
 
MSRs

The Company holds a portfolio of MSRs that are reported at fair value in the consolidated balance sheets. The Company uses a discounted cash flow model to estimate the fair value of these assets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). As a result, the Company classified 100% of its MSRs as Level 3 fair value assets at June 30, 2017 and December 31, 2016.

Derivative Instruments

The Company enters into a variety of derivative instruments as part of its economic hedging strategies. The Company executes interest rate swaps, swaptions, TBAs and treasury futures. The Company utilizes third-party pricing providers to value its derivative instruments. As a result, the Company classified 100% of its derivative instruments as Level 2 fair value assets and liabilities at June 30, 2017 and December 31, 2016.

Both the Company and the derivative counterparties under their netting arrangements are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparties. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or counterparties is considered materially mitigated. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit.

The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).

Recurring Fair Value Measurements

As of June 30, 2017

  
Level 1
  
Level 2
  
Level 3
  
Carrying Value
 
Assets
            
RMBS
            
Fannie Mae
 
$
-
  
$
885,201
  
$
-
  
$
885,201
 
Freddie Mac
  
-
   
425,256
   
-
   
425,256
 
CMOs
  
-
   
67,977
   
-
   
67,977
 
RMBS total
  
-
   
1,378,434
   
-
   
1,378,434
 
Derivative assets
                
Interest rate swaps
  
-
   
6,303
   
-
   
6,303
 
Interest rate swaptions
  
-
   
727
   
-
   
727
 
TBAs
  
-
   
76
   
-
   
76
 
Derivative assets total
  
-
   
7,106
   
-
   
7,106
 
Servicing related assets
  
-
   
-
   
74,455
   
74,455
 
Total Assets
 
$
-
  
$
1,385,540
  
$
74,455
  
$
1,459,995
 
Liabilities
                
Derivative liabilities
                
Interest rate swaps
  
-
   
3,265
   
-
   
3,265
 
Derivative liabilities total
  
-
   
3,265
   
-
   
3,265
 
Total Liabilities
 
$
-
  
$
3,265
  
$
-
  
$
3,265
 
 
As of December 31, 2016

  
Level 1
  
Level 2
  
Level 3
  
Carrying Value
 
Assets
            
RMBS
            
Fannie Mae
 
$
-
  
$
448,937
  
$
-
  
$
448,937
 
Freddie Mac
  
-
   
198,103
   
-
   
198,103
 
CMOs
  
-
   
24,864
   
-
   
24,864
 
RMBS total
  
-
   
671,904
   
-
   
671,904
 
Derivative assets
                
Interest rate swaps
  
-
   
7,639
   
-
   
7,639
 
Interest rate swaptions
  
-
   
1,482
   
-
   
1,482
 
Derivative assets total
  
-
   
9,121
   
-
   
9,121
 
Servicing related assets
  
-
   
-
   
61,263
   
61,263
 
Total Assets
 
$
-
  
$
681,025
  
$
61,263
  
$
742,288
 
Liabilities
                
Derivative liabilities
                
Interest rate swaps
  
-
   
339
   
-
   
339
 
TBAs
  
-
   
75
   
-
   
75
 
Treasury futures
  
-
   
280
   
-
   
280
 
Derivative liabilities total
  
-
   
694
   
-
   
694
 
Total Liabilities
 
$
-
  
$
694
  
$
-
  
$
694
 

The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of June 30, 2017 and December 31, 2016, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented.

Level 3 Assets and Liabilities

The valuation of Level 3 assets and liabilities requires significant judgment by the third-party pricing providers and management. The third-party pricing providers and management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by third-party pricing providers and management in the absence of market information. Assumptions used by third-party pricing providers and management due to lack of observable inputs may significantly impact the resulting fair value and, therefore, the Company’s consolidated financial statements. The Company’s management reviews all valuations that are based on pricing information received from third-party pricing providers. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable.

In connection with the above, the Company estimates the fair value of its Servicing Related Assets based on internal pricing models rather than quotations, and compares the results of these internal models against the results from models generated by third-party valuation specialists. The determination of estimated cash flows used in pricing models is inherently subjective and imprecise.

Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant change to estimated fair values. It should be noted that minor changes in assumptions or estimation methodologies can have a material effect on these derived or estimated fair values, and that the fair values reflected below are indicative of the interest rate and credit spread environments as of June 30, 2017 and December 31, 2016 and do not take into consideration the effects of subsequent changes in market or other factors.
 
The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands):
 
Level 3 Fair Value Measurements
 
As of June 30, 2017

  
Level 3 (A)
 
  
Pool 2
  
MSRs
  
Total
 
Balance at December 31, 2016
 
$
29,392
  
$
31,871
  
$
61,263
 
Purchases, sales and principal paydowns:
            
Purchases
  
-
   
35,800
   
35,800
 
Sales
  (35,905)  -   (35,905)
Other changes (B)
  
6,513
   
(1,021
)
  
5,492
 
Purchases, sales and principal paydowns:
 
$
(29,392
)
 
$
34,779
  
$
5,387
 
Changes in Fair Value due to:
            
Changes in valuation inputs or assumptions used in valuation model
  
-
   
10,425
   
10,425
 
Other changes in fair value (C)
  
-
   
(2,620
)
  
(2,620
)
Unrealized gain (loss) included in Net Income
 
$
-
  
$
7,805
  
$
7,805
 
Balance at June 30, 2017
 
$
-
  
$
74,455
  
$
74,455
 

As of December 31, 2016

  
Level 3 (A)
 
  
Pool 1
  
Pool 2
  
Excess MSR Pool 2014
  
MSRs
  
Total
 
Balance at December 31, 2015
 
$
43,482
  
$
33,054
  
$
1,506
  
$
19,761
  
$
97,803
 
Purchases, sales and principal paydowns:
                    
Purchases
  
-
   
-
   
-
   
16,179
   
16,179
 
Sales
  
(39,916
)
  
-
   
(1,179
)
  
-
   
(41,095
)
Proceeds from principal paydowns
  
(3,566
)
  
(3,911
)
  
(327
)
  
-
   
(7,804
)
Other changes (B)
  
-
   
-
   
-
   
(784
)
  
(784
)
Purchases, sales and principal paydowns:
 
$
(43,482
)
 
$
(3,911
)
 
$
(1,506
)
 
$
15,395
  
$
(33,504
)
Changes in Fair Value due to:
                    
Changes in valuation inputs or assumptions used in valuation model
  
-
   
249
   
-
   
227
   
476
 
Other changes in fair value (C)
  
-
   
-
   
-
   
(3,512
)
  
(3,512
)
Unrealized gain (loss) included in Net Income
 
$
-
  
$
249
  
$
-
  
$
(3,285
)
 
$
(3,036
)
Balance at December 31, 2016
 
$
-
  
$
29,392
  
$
-
  
$
31,871
  
$
61,263
 
 
(A)
Includes the recapture agreement for each respective pool.
(B)
Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.
(C)
Represents changes due to realization of expected cash flows.
 
The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands):

Fair Value Measurements

As of June 30, 2017
 
 
Fair Value
Valuation Technique
Unobservable Input (A)
 
Range
 
Weighted
Average
 
MSRs
  
 
 
 
 
 
  
 
  
Conventional
 
$
31,491
 
Discounted cash flow
 
Constant prepayment speed
  
6.9% - 20.2
%
  
11.2
%
    
 
 
 
Uncollected payments
 
 
0.4% - 5.2
%
 
 
0.9
%
      
Discount rate
      
9.3
%
    
 
 
Annual cost to service, per loan
 
   
   
$
71
 
Government
 
$
42,964
 
Discounted cash flow
 
Constant prepayment speed
  
5.1% - 17.3
%
  
8.7
%
    
 
 
 
Uncollected payments
 
 
1.8% - 39.5
%
 
 
3.8
%
       
Discount rate
      
12.0
%
    
 
 
 
Annual cost to service, per loan
 
   
   
$
98
 
TOTAL
 $
74,455
 
Discounted cash flow
         
 
As of December 31, 2016
 
  
Fair Value
 
Valuation Technique
 
Unobservable Input (A)
 
Range
  
Weighted
Average
 
Excess MSR Pool 2
 
$
29,392
 
Discounted cash flow
 
Constant prepayment speed
  
7.8% - 31.9
%
  
14.3
%
      
Uncollected Payments
  
8.3% - 13.1
%
  
11.9
%
     
 
 
Discount rate
      
16.2
%
Conventional MSRs
 
$
31,871
 
Discounted cash flow
 
Constant prepayment speed
  
7.1% - 24.9
%
  
10.6
%
     
 
 
Uncollected payments
  
0.8% - 1.4
%
  
1.3
%
      
Discount rate
      
9.3
%
     
 
 
Annual cost to service, per loan
     
$
64
 
TOTAL
 
$
61,263
 
Discounted cash flow
          
 
(A)
Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.

Fair Value of Financial Instruments not Carried at Fair Value in Balance Sheets

In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheet, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments.

•
RMBS available for sale securities, Servicing Related Assets, derivative assets and derivative liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the “Fair Value Measurements” section of this footnote.

•
Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments.

•
The carrying value of repurchase agreements and corporate debt that mature in less than one year generally approximates fair value due to the short maturities. The Company does not hold any repurchase agreements that are considered long-term.

Corporate debt that matures in more than one year generally approximates fair value.
XML 29 R18.htm IDEA: XBRL DOCUMENT v3.7.0.1
Commitments and Contingencies
 6 Months Ended
Jun. 30, 2017
Commitments and Contingencies [Abstract]  
Commitments and Contingencies
Note 10 — Commitments and Contingencies

The following represents commitments and contingencies of the Company as of June 30, 2017 and December 31, 2016:

Management Agreement

The Company pays the Manager a quarterly management fee, calculated and payable quarterly in arrears, equal to the product of one quarter of the 1.5% management fee annual rate and the stockholders’ equity, adjusted as set forth in the Management Agreement as of the end of such fiscal quarter. The Company relies on resources of Freedom Mortgage to provide the Manager with the necessary resources to conduct Company operations. For further discussion regarding the management fee, see Note 7.

Legal and Regulatory

From time to time, the Company may be subject to potential liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company’s consolidated financial statements, and, therefore, no accrual is required as of June 30, 2017 and December 31, 2016.

Commitments to Purchase/Sell RMBS

As of June 30, 2017 and December 31, 2016, the Company held forward TBA purchase and sale commitments, respectively, with counterparties, which are forward RMBS trades, whereby the Company committed to purchasing a pool of securities at a particular interest rate. As of the date of the trade, the mortgage-backed securities underlying the pool that will be delivered to fulfill a TBA trade are not yet designated. The securities are typically “to be announced” 48 hours prior to the established trade settlement date.

As of June 30, 2017, the Company was obligated to purchase approximately $14.9 million of Fannie Mae and Freddie Mac securities and was not obligated to sell any securities and they have been classified within “payables for unsettled trades” on the consolidated balance sheet. As of December 31, 2016, the Company was not obligated to purchase any securities and was obligated to sell approximately $6.0 million of securities which have been classified within “payables for unsettled trades” on the consolidated balance sheets.

Acknowledgment Agreements

In order to have Ginnie Mae acknowledge our interest in Excess MSRs related to FHA and VA mortgage loans that were pooled into securities guaranteed by Ginnie Mae, the Company entered into an acknowledgment agreement with Ginnie Mae and Freedom Mortgage. Under that agreement, if Freedom Mortgage failed to make a required payment to the holders of the Ginnie Mae-guaranteed RMBS, the Company would have been obligated to make that payment even though the payment may have related to loans for which the Company did not own any Excess MSRs. The Company’s failure to make that payment would have resulted in liability to Ginnie Mae for any losses or claims that it suffered as a result.  This agreement was terminated in February 2017 in connection with the disposition of the remaining Excess MSRs back to Freedom Mortgage.

In connection with the MSR Financing Facility (as defined below) entered into by Aurora and QRS III, those parties also entered into an acknowledgment agreement with Fannie Mae. Pursuant to that agreement, Fannie Mae consented to the pledge by Aurora and QRS III of their respective interests in MSRs for loans owned or securitized by Fannie Mae, and acknowledged the security interest of the lender in those MSRs. See Note 12—Notes Payable for a description of the MSR Financing Facility.
XML 30 R19.htm IDEA: XBRL DOCUMENT v3.7.0.1
Repurchase Agreements
 6 Months Ended
Jun. 30, 2017
Repurchase Agreements [Abstract]  
Repurchase Agreements
Note 11 – Repurchase Agreements

The Company had outstanding approximately $1,197.4 million and $594.6 million of repurchase agreements as of June 30, 2017 and December 31, 2016, respectively. The Company’s obligations under these agreements had weighted average remaining maturities of 58 days and 65 days as of June 30, 2017 and December 31, 2016, respectively. RMBS and cash have been pledged as collateral under these repurchase agreements (see Note 4).

The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands):

Repurchase Agreement Characteristics

As of June 30, 2017

  
Repurchase Agreements
  
Weighted Average Rate
 
Less than one month
 
$
366,298
   
1.13
%
One to three months
  
565,295
   
1.17
%
Greater than three months
  
265,847
   
1.29
%
Total/Weighted Average
 
$
1,197,440
   
1.19
%


As of December 31, 2016

  
Repurchase Agreements
  
Weighted Average Rate
 
Less than one month
 
$
60,690
   
1.14
%
One to three months
  
456,502
   
0.91
%
Greater than three months
  
77,423
   
0.90
%
Total/Weighted Average
 
$
594,615
   
0.93
%

There were no overnight or demand securities as of June 30, 2017 or December 31, 2016.
XML 31 R20.htm IDEA: XBRL DOCUMENT v3.7.0.1
Notes Payable
 6 Months Ended
Jun. 30, 2017
Notes Payable [Abstract]  
Notes Payable
Note 12 – Notes Payable

In September 2016, Aurora and QRS III entered into a loan and security agreement (the “MSR Financing Facility”), pursuant to which Aurora and QRS III pledged their respective rights in all existing and future MSRs for loans owned or securitized by Fannie Mae to secure borrowings up to a maximum of $25.0 million outstanding at any one time. The MSR financing facility has a two-year revolving period, subject to extension by agreement, during which only interest payments are due. Borrowings bear interest at a spread over one month LIBOR. At the end of the revolving period, the outstanding amount will be converted to a three-year term loan with monthly payments of interest (calculated as a spread over the rate for one-year interest rate swaps) and principal (calculated on a ten-year amortization schedule).

At December 31, 2016 the Company had outstanding borrowings of $8.9 million on the $25 million NexBank term loan (the “Term Loan”). The Term Loan was paid in full in connection with the sale of the Excess MSRs in Excess MSR Pool 2 back to Freedom Mortgage in February 2017.

In May 2017, the Company, Aurora and QRS IV obtained a $20.0 million loan (the “MSR Term Facility”) secured by the pledge of Aurora’s Ginnie Mae MSRs and the ownership interest in QRS IV. The loan bears interest at a fixed rate of 6.18% per annum, amortizes on a ten-year amortization schedule and is due on May 18, 2022.

The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):

Long-Term Borrowings Repayment Characteristics

As of June 30, 2017
 
 
2017
  
2018
  
2019
  
2020
  
2021
  2022  
Total
 
MSR Term Facility
                     
Borrowings under MSR Term Facility
 
$
1,000
  
$
2,000
  
$
2,000
  
$
2,000
  
$
2,000
  
$
11,000
  
$
20,000
 
MSR Financing Facility
                            
Borrowings under MSR Financing Facility
 
$
-
  
$
295
  
$
1,222
  
$
1,289
  
$
12,694
  
$
-
  
$
15,500
 
Total
 
$
1,000
  
$
2,295
  
$
3,222
  
$
3,289
  
$
14,694
  
$
11,000
  
$
35,500
 
 
As of December 31, 2016

  
2017
  
2018
  
2019
  
2020
  
2021
  
Total
 
Term Loan
                  
Borrowings under Term Loan
 
$
2,841
  
$
3,005
  
$
3,040
  
$
-
  
$
-
  
$
8,886
 
MSR Financing Facility
                        
Borrowings under Financing Facility
 
$
-
  
$
271
  
$
1,118
  
$
1,175
  
$
11,436
  
$
14,000
 
Total
 
$
2,841
  
$
3,276
  
$
4,158
  
$
1,175
  
$
11,436
  
$
22,886
 
XML 32 R21.htm IDEA: XBRL DOCUMENT v3.7.0.1
Receivables and Other Assets
 6 Months Ended
Jun. 30, 2017
Receivables and Other Assets [Abstract]  
Receivables and Other Assets
Note 13 – Receivables and Other Assets

The assets comprising “Receivables and other assets” as of June 30, 2017 and December 31, 2016 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

  
June 30, 2017
  
December 31, 2016
 
Excess servicing income receivable
 
$
1,250
  
$
5,598
 
Servicing advances
  
2,402
   
1,432
 
Interest receivable
  
4,273
   
2,069
 
Repurchased loans held for sale
  
1,570
   
1,570
 
Other receivables
  
3,335
   
1,628
 
Total other assets
 
$
12,830
  
$
12,297
 

The Company only records as an asset those servicing advances that the Company deems recoverable.

As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 3I, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 20 17. Four of the five loans purchased were sold during the six month period ended June 30,2017, and the Company did not recognize any losses on such sales. The remaining repurchased loan is considered to be a Level 2 Asset and is expected to be sold in 2017.
XML 33 R22.htm IDEA: XBRL DOCUMENT v3.7.0.1
Income Taxes
 6 Months Ended
Jun. 30, 2017
Income Taxes [Abstract]  
Income Taxes
Note 14 – Income Taxes

The Company elected to be taxed as a REIT under Code Sections 856 through 860 beginning with its short taxable year ended December 31, 2013. As a REIT, the Company generally will not be subject to U.S. federal income tax to the extent that it distributes its taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its stockholders and meet certain other requirements such as assets it may hold, income it may generate and its stockholder composition. It is the Company’s policy to distribute all or substantially all of its REIT taxable income. To the extent there is any undistributed REIT taxable income at the end of a year, the Company can elect to distribute such shortfall within the next year as permitted by the Code.

Effective January 1, 2014, CHMI Solutions has elected to be taxed as a corporation for U.S. federal income tax purposes; prior to this date, CHMI Solutions was a disregarded entity for U.S. federal income tax purposes. CHMI Solutions has jointly elected with the Company, the ultimate beneficial owner of CHMI Solutions, to be treated as a TRS of the Company, and all activities conducted through CHMI Solutions and its wholly-owned subsidiary, Aurora, are subject to federal and state income taxes. CHMI Solutions files a consolidated tax return with Aurora and is fully taxed as a U.S. C-Corporation.

The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. CHMI Solutions and Aurora are subject to U.S. federal, state and local income taxes.

The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):

  
Six Months Ended June 30, 
 
  
2017
  
2016
 
Current federal income tax expense
 
$
112
  
$
-
 
Current state income tax expense
  
21
   
-
 
Deferred federal income tax expense (benefit)
  
(134
)
  
(522
)
Deferred state income tax expense (benefit)
  
(4
)
  
(58
)
Total Income Tax Expense
 
$
(5
)  
$
(580
)

The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):

  
Six Months Ended June 30,
 
  
2017
  
2016
 
Computed income tax (benefit) expense at federal rate
 
$
7,321
   
35.0
%
 
$
(2,610
)
  
35.0
%
State taxes, net of federal benefit, if applicable
  
-
   
-
%
  
(58
)
  
0.8
%
Permanent differences in taxable income from GAAP pre-tax income
  
-
   
-
%
  
-
   
-
%
REIT income not subject to tax
  
(7,326
)
  
(35.0
)%
  
2,088
   
(28.0
)%
(Benefit from) Provision for Income Taxes/Effective Tax Rate(A)
 
$
(5
)   
0.0
%
 
$
(580
)
  
7.8
%

(A)
The provision for income taxes is recorded at the TRS level.
 
The Company’s consolidated balance sheets, at June 30, 2017 and December 31, 2016, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands):

  
Six Months Ended June 30,  
 
  
2017
  
2016
 
Income taxes payable
      
Federal income taxes payable
 
$
650
  
$
-
 
State and local income taxes payable
  
82
   
-
 
Income taxes payable
 
$
732
  
$
-
 

  
June 30, 2017
  
December 31, 2016
 
Deferred tax (assets) liabilities
      
Deferred tax - organizational expenses
 
$
(51
)
 
$
(53
)
Deferred tax - mortgage servicing rights
  
(480
)  
(340
)
Total net deferred tax (assets) liabilities
 
$
(531
) 
$
(393
)

The deferred tax asset as of June 30, 2017 was primarily related to mortgage servicing rights. The deferred tax asset as of December 31, 2016 was primarily related to mortgage servicing rights. No valuation allowance has been established at June 30, 2017 and December 31, 2016. As of June 30, 2017 and December 31, 2016, the deferred tax asset is included in “Accrued expenses and other liabilities” in the consolidated balance sheets

Based on the Company’s evaluation, the Company has concluded that there are no significant uncertain tax positions requiring recognition in the Company’s consolidated financial statements. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements.

The Company’s 2016, 2015, 2014, 2013 and 2012 federal, state and local income tax returns remain open for examination by the relevant authorities.
XML 34 R23.htm IDEA: XBRL DOCUMENT v3.7.0.1
Subsequent Events
 6 Months Ended
Jun. 30, 2017
Subsequent Events [Abstract]  
Subsequent Events
Note 15 – Subsequent Events

Events subsequent to June 30, 2017 were evaluated and no additional events were identified requiring further disclosure in the interim consolidated financial statements.
XML 35 R24.htm IDEA: XBRL DOCUMENT v3.7.0.1
Basis of Presentation and Significant Accounting Policies (Policies)
 6 Months Ended
Jun. 30, 2017
Basis of Presentation and Significant Accounting Policies [Abstract]  
Basis of Accounting
Basis of Accounting

The accompanying interim consolidated financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The interim consolidated financial statements include the accounts of the Company and its consolidated subsidiaries. All significant intercompany transactions and balances have been eliminated. The Company consolidates those entities in which it has an investment of 50% or more and has control over significant operating, financial and investing decisions of the entity. The interim consolidated financial statements reflect all necessary and recurring adjustments for fair presentation of the results for the interim periods presented herein.
Emerging Growth Company Status
Emerging Growth Company Status

On April 5, 2012, the Jumpstart Our Business Startups Act (the “JOBS Act”) was signed into law. The JOBS Act contains provisions that, among other things, reduce certain reporting requirements for qualifying public companies. Because the Company qualifies as an “emerging growth company,” it may, under Section 7(a)(2)(B) of the Securities Act of 1933, delay adoption of new or revised accounting standards applicable to public companies until such standards would otherwise apply to private companies. The Company has elected to take advantage of this extended transition period until the first to occur of the date that it (i) is no longer an “emerging growth company” or (ii) affirmatively and irrevocably opts out of this extended transition period. As a result, the consolidated interim financial statements may not be comparable to those of other public companies that comply with such new or revised accounting standards. Until the date that the Company is no longer an “emerging growth company” or affirmatively and irrevocably opts out of the extended transition period, upon issuance of a new or revised accounting standard that applies to the consolidated interim financial statements and that has a different effective date for public and private companies, the Company will disclose the date on which adoption is required for non-emerging growth companies and the date on which it will adopt the recently issued accounting standard.
Use of Estimates
Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates and assumptions. These include estimates of: the fair value of Excess MSRs and MSRs (collectively, “Servicing Related Assets”); RMBS and derivatives; credit losses, including the period of time during which the Company anticipates an increase in the fair values of RMBS sufficient to recover unrealized losses on those RMBS; and other estimates that affect the reported amounts of certain assets, revenues, liabilities and expenses as of the date of, and for the periods covered by, the interim consolidated financial statements. It is likely that changes in these estimates will occur in the near term. The Company’s estimates are inherently subjective in nature. Actual results could differ from the Company’s estimates, and the differences may be material.
Risks and Uncertainties
Risks and Uncertainties

In the normal course of business, the Company encounters primarily two significant types of economic risk: credit and market. Credit risk is the risk of default on the Company’s investments in RMBS, Servicing Related Assets and derivatives that results from a borrower’s or derivative counterparty’s inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments in RMBS, Servicing Related Assets and derivatives due to changes in interest rates, spreads or other market factors, including prepayment speeds on the Company’s RMBS and Servicing Related Assets. The Company is subject to the risks involved with real estate and real estate-related debt instruments. These include, among others, the risks normally associated with changes in the general economic climate, changes in the mortgage market, changes in tax laws, interest rate levels, and the availability of financing.

The Company also is subject to certain risks relating to its status as a REIT for U.S. federal income tax purposes. If the Company were to fail to qualify as a REIT in any taxable year, the Company would be subject to U.S. federal income tax on its REIT income (including any applicable alternative minimum tax), which could be material. Unless entitled to relief under certain statutory provisions, the Company would also be disqualified from treatment as a REIT for the four taxable years following the year during which qualification is lost.
Investments in RMBS
Investments in RMBS

Classification – The Company classifies its investments in RMBS as securities available for sale. Although the Company generally intends to hold most of its securities until maturity, it may, from time to time, sell any of its securities as part of its overall management of its portfolio. Securities available for sale are carried at fair value with the net unrealized gains or losses reported as a separate component of accumulated other comprehensive income (loss), to the extent impairment losses, if any, are considered temporary. Unrealized losses on securities are charged to earnings if they reflect a decline in value that is other-than-temporary, as described below.

Fair value is determined under the guidance of Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”). The Company determines fair value of its RMBS investments based upon prices obtained from third-party pricing providers. The third-party pricing providers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset periods, issuer, prepayment speeds, credit enhancements and expected life of the security. Management’s judgment is used to arrive at the fair values of RMBS taking into account prices obtained from third-party pricing providers and other applicable market data. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.

Investment securities transactions are recorded on the trade date. At disposition, the net realized gain or loss is determined on the basis of the cost of the specific investment and is included in earnings. Approximately $14.9 million in Agency RMBS purchased, but not yet settled, was payable at June 30, 2017. Approximately $6.2 million in Agency RMBS purchased, but not yet settled, was payable at December 31, 2016. All RMBS sold in the year ended December 31, 2016 were settled prior to year-end.

Revenue Recognition – Interest income from coupon payments is accrued based on the outstanding principal amount of the RMBS and their contractual terms. Premiums and discounts associated with the purchase of the RMBS are accreted into interest income over the projected lives of the securities using the effective interest method. The Company’s policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, consensus on prepayment speeds, and current market conditions. Adjustments are made for actual prepayment activity. Approximately$4.3 million and $2.0 million in interest income was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets. For further discussion on Receivables and other assets, see Note 13.

Impairment – The Company evaluates its RMBS, on a quarterly basis, to assess whether a decline in the fair value below the amortized cost basis is an other-than-temporary impairment (“OTTI”). The presence of OTTI is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if the Company (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security’s amortized cost basis, even if the Company does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment is recognized currently in earnings and the cost basis of the security is adjusted. However, if the Company does not intend to sell the impaired security and it is more likely than not that it will not be required to sell before recovery, the OTTI is separated into (i) the estimated amount relating to credit loss, or the credit component, and (ii) the amount relating to all other factors, or the non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted into interest income in accordance with the effective interest method. The Company recorded approximately $77,000 of OTTI charges during the three month and six month periods ended June 30, 2017. OTTI recorded during the year ended December 31, 2016 was approximately $173,000. OTTI has been classified within “Realized gain (loss) on RMBS, net” on the consolidated statements of income.
Investments in Excess MSRs
Investments in Excess MSRs

As a result of the Company’s sale of its remaining Excess MSRs in February 2017, there were no Excess MSRs at June 30, 2017.
 
Classification – The Company had elected the fair value option to record its investments in Excess MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the Excess MSRs. Under this election, the Company recorded a valuation adjustment on its investments in Excess MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. In determining the valuation of Excess MSRs in accordance with ASC 820, management used internally developed models that were primarily based on observable market-based inputs but which also included unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9.

Revenue Recognition – Excess MSRs were aggregated into pools as applicable. Each pool of Excess MSRs was accounted for in the aggregate. Interest income for Excess MSRs was accreted into interest income on an effective yield or “interest” method, based upon the expected excess mortgage servicing amount over the expected life of the underlying mortgages. Changes to expected cash flows resulted in a cumulative retrospective adjustment, which were recorded in the period in which the change in expected cash flows occurred. Under the retrospective method, the interest income recognized for a reporting period is measured as the difference between the amortized cost basis at the end of the period and the amortized cost basis at the beginning of the period, plus any cash received during the period. The amortized cost basis was calculated as the present value of estimated future cash flows using an effective yield, which was the yield that equated all past actual and estimated future cash flows to the initial investment. The difference between the fair value of Excess MSRs and their amortized cost basis was recorded on the consolidated statements of income statement as “Unrealized gain (loss) on investments in Excess MSRs.” Fair value was generally determined by discounting the expected future cash flows using discount rates that incorporated the market risks and liquidity premium specific to the Excess MSRs and, therefore, may have differed from their effective yields. The sale of investments in Excess MSRs was recognized upon settlement date. Approximately $1.3 million and $5.6 million in Excess MSR cash flow was receivable at June 30, 2017 and December 31, 2016, respectively, and has been classified within “Receivables and other assets” on the consolidated balance sheets.

In connection with the sale of its Excess MSRs, the Company elected a settlement date accounting policy to account for the gain on sale from that transaction. For a further discussion of the Company’s sale of its Excess MSRs, see Note 7.
Investments in MSRs
Investments in MSRs

Classification – The Company’s MSRs represent the contractual right to service mortgage loans. The Company has elected the fair value option to record its investments in MSRs in order to provide users of the consolidated interim financial statements with better information regarding the effects of prepayment risk and other market factors on the MSRs. Under this election, the Company records a valuation adjustment on its investments in MSRs on a quarterly basis to recognize the changes in fair value in net income as described below. Although transactions in MSRs are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels, costs to service and discount rates). Changes in the fair value of MSRs as well as servicing fee income and servicing expenses are reported on the consolidated statements of income. In determining the valuation of MSRs in accordance with ASC 820, management uses internally developed models that are primarily based on observable market-based inputs but which also include unobservable market data inputs. The Company’s application of ASC 820 guidance is discussed in further detail in Note 9. For reporting purposes, conventional conforming loans are aggregated into one category.

Revenue Recognition – Mortgage servicing fee income represents revenue earned for servicing mortgage loans. The servicing fees are based on a contractual percentage of the outstanding principal balance and recognized as revenue as the related mortgage payments are collected. Corresponding costs to service are charged to expense as incurred. As an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the “Receivables and other assets” line item on the consolidated balance sheets. Approximately $2.4 million and $1.4 million in reimbursable servicing advances were receivable at June 30, 2017 and December 31, 2016, respectively, and have been classified within “Receivables and other assets” on the consolidated balance sheets. Although advances on Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”) MSRs made in accordance with the relevant guidelines are generally recoverable, the recoverability of similar advances made on Government National Mortgage Association (“Ginnie Mae”) MSRs may be limited under the rules and regulations of the U.S. Department of Housing and Urban Development, the Department of Veterans Affairs (the “VA”) and the Federal Housing Administration (“FHA”). Because the Ginnie Mae MSRs were only acquired in February 2017, and advances on the Fannie Mae and Freddie Mac MSRs are expected to be recoverable, the Company has determined that no reserves for unrecoverable advances are necessary at June 30, 2017 and December 31, 2016. For further discussion on the Company’s receivables and other assets, including the Company’s servicing advances, see Note 13.
 
Servicing fee income received and servicing expenses incurred are reported on the consolidated statements of comprehensive income. The difference between the fair value of MSRs and their amortized cost basis is recorded on the consolidated statements of income as “Unrealized gain (loss) on investments in MSRs.” Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs and, therefore, may differ from their effective yields.

As a result of the Company’s investments in MSRs, it is obligated from time to time to repurchase an underlying loan from the applicable agency for which it is being serviced due to an alleged breach of a representation or warranty. Loans acquired in this manner are recorded at the purchase price less any principal recoveries and are then offered for sale in the scratch and dent market. There were no loans purchased in the three and six month periods ended June 30, 2017. In the year ended December 31, 2016, the Company purchased five loans, with an aggregate UPB of approximately $1.6 million at the time of purchase, as required by the applicable agency. No loans were sold during the three month period ended June 30, 2017. Four of the five loans purchased were sold during the six month period ended June 30, 2017, and the Company did not recognize any losses on such sales.
Derivatives and Hedging Activities
Derivatives and Hedging Activities

Derivative transactions include swaps, swaptions, Treasury futures and “to-be-announced” securities (“TBAs”). Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and Treasury futures are used for duration risk and basis risk management purposes. The decision whether or not a given transaction/position (or portion thereof) is economically hedged is made on a case-by-case basis, based on the risks involved and other factors as determined by senior management, including restrictions imposed by the Code on REITs. In determining whether to economically hedge a risk, the Company may consider whether other assets, liabilities, firm commitments and anticipated transactions already offset or reduce the risk. All transactions undertaken as economic hedges are entered into with a view towards minimizing the potential for economic losses that could be incurred by the Company. Generally, derivatives entered into are not intended to qualify as hedges under GAAP, unless specifically stated otherwise.

The Company’s derivative financial instruments contain credit risk to the extent that its bank counterparties may be unable to meet the terms of the agreements. The Company reduces such risk by limiting its exposure to any one counterparty. In addition, the potential risk of loss with any one party resulting from this type of credit risk is monitored. The Company’s interest rate swaps are required to be cleared on an exchange, which further mitigates, but does not eliminate, credit risk. Management does not expect any material losses as a result of default by other parties to its derivative financial instruments.

Classification – All derivatives are recognized as either assets or liabilities on the consolidated balance sheets and measured at fair value. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Derivative amounts payable to, and receivable from, the same party under a contract may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right to offset is enforceable by law. The Company reports the fair value of derivative instruments gross of cash paid or received pursuant to credit support agreements, and fair value may be reflected on a net counterparty basis when the Company believes a legal right of offset exists under an enforceable master netting agreement. For further discussion on offsetting assets and liabilities, see Note 8.
 
Revenue Recognition – With respect to derivatives that have not been designated as hedges, any net payments under, or fluctuations in the fair value of, such derivatives have been recognized currently in “Realized and unrealized gains (losses) on derivatives, net” in the consolidated statements of income.
Cash and Cash Equivalents and Restricted Cash
Cash and Cash Equivalents and Restricted Cash

The Company considers all highly liquid short-term investments with maturities of 90 days or less when purchased to be cash equivalents. Substantially all amounts on deposit with major financial institutions exceed insured limits. Restricted cash represents the Company’s cash held by counterparties (i) as collateral against the Company’s derivatives (approximately $13.5 million and $1.1 million at June 30, 2017 and December 31, 2016, respectively), (ii) as collateral for borrowings under its repurchase agreements (approximately $5.8 million and $20.4 million at June 30, 2017 and December 31, 2016, respectively) and (iii) as collateral for outstanding borrowings on a $25 million term loan secured by a pledge of the Company’s portfolio of Excess MSRs ($0.0 at June 30, 2017 and approximately $1.1 million at December 31, 2016). For further information on the restricted cash as it relates to the term loan, see Note 12.
Due to Affiliates
Due to Affiliates

This represents amounts due to the Manager pursuant to the Management Agreement. For further information on the Management Agreement, see Note 7.
Income Taxes
Income Taxes

The Company elected to be taxed as a REIT under the Code commencing with its short taxable year ended December 31, 2013. The Company expects to continue to qualify to be treated as a REIT. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes at least 90% of its REIT taxable income to stockholders and does not engage in prohibited transactions. The Company’s taxable REIT subsidiaries (“TRSs”), CHMI Solutions and Aurora, are subject to U.S. federal income taxes on their taxable income.

The Company accounts for income taxes in accordance with ASC 740, Income Taxes. ASC 740 requires the recording of deferred income taxes that reflect the net tax effect of temporary differences between the carrying amounts of the Company’s assets and liabilities for financial reporting purposes and the amounts used for income tax purposes, including operating loss carry forwards. Deferred tax assets and liabilities are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect of a change in tax rates on deferred tax assets and liabilities is recognized in earnings in the period that includes the enactment date. The Company assesses its tax positions for all open tax years and determines if it has any material unrecognized liabilities in accordance with ASC 740. The Company records these liabilities to the extent it deems them more-likely-than-not to be incurred. The Company records interest and penalties related to income taxes within the provision for income taxes in the consolidated statements of income (loss). The Company has not incurred any interest or penalties.
Realized Gain (Loss) on Investments, Net
Realized Gain (Loss) on Investments, Net

The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands):
 
  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
  
2017
  
2016
  
2017
  
2016
 
Realized gain (loss) on RMBS, net
            
Gain on RMBS
 
$
-
  
$
235
  
$
-
  
$
555
 
Loss on RMBS
  
(77
)
  
-
   
(333
)
  
-
 
Net realized gain (loss) on RMBS
  
(77
)
  
235
   
(333
)
  
555
 
Realized gain (loss) on derivatives, net
  
(1,797
)
  
(299
)
  
(2,814
)
  
(1,760
)
Unrealized gain (loss) on derivatives, net
  
(4,633
)
  
(1,228
)
  
(3,551
)
  
(6,426
)
Realized gain (loss) on Excess MSRs, net
  
-
   
-
   
6,678
   
-
 
Unrealized gain (loss) on Excess MSRs, net
  
-
   
(149
)
  
-
   
(2,456
)
Unrealized gain (loss) on MSRs, net
  
(4,507
)
  
(3,076
)
  
7,805
   
(5,308
)
Realized gain (loss) on acquired assets, net
  
-
   
-
   
-
   
-
 
Total
 
$
(11,014
)
 
$
(4,517
)
 
$
7,785
  
$
(15,395
)
Repurchase Agreements and Interest Expense
Repurchase Agreements and Interest Expense

The Company finances its investments in RMBS with short-term borrowings under master repurchase agreements. The repurchase agreements are generally short-term debt, which expire within one year. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Interest is recorded at the contractual amount on an accrual basis.
Dividends Payable
Dividends Payable

Because the Company is organized and operated as a REIT under the Code, it is required by law to distribute annually at least 90% of its REIT taxable income, which it does in the form of quarterly and special dividend payments. The Company accrues the dividend payable on the dividend declaration date, which causes an offsetting reduction in retained earnings as of the dividend declaration date.
Comprehensive Income
Comprehensive Income

Comprehensive income is defined as the change in equity of a business enterprise during a period resulting from transactions and other events and circumstances, excluding those resulting from investments by and distributions to owners. For the Company’s purposes, comprehensive income represents net income, as presented in the consolidated statements of income, adjusted for unrealized gains or losses on RMBS, which are designated as available for sale.
Recent Accounting Pronouncements
Recent Accounting Pronouncements

Revenue Recognition – In May 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers, which supersedes the revenue recognition requirements in ASC 606, Revenue Recognition, and most industry-specific guidance throughout the Industry Topics of the Codification. Under the new revenue recognition guidance, entities are required to identify the contract with a customer, identify the performance obligations in the contract, determine the transaction price, allocate the transaction price to the performance obligations in the contract and recognize revenue when the entity satisfies a performance obligation. In April 2015, the FASB voted for a one-year deferral of the effective date, resulting in this new guidance being effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017. Subsequent to the initial issuance, the FASB has continued to issue updates to this guidance to provide additional clarification and implementation instructions to issuers regarding (i) principal versus agent considerations, (ii) identifying performance obligations, (iii) licensing, and (iv) narrow-scope improvements and practical expedients relating to assessing collectability, presentation of sales taxes, non-cash consideration, and completed contracts and contract modifications at transition. Entities have the option of using either a full retrospective or a modified approach to adopt the guidance in ASU No. 2014-09. The Company evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC No. 606. For income from servicing residential mortgage loans, "the Company" considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC No. 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC No. 606 contains a scope exception for contracts that fall under ASC No. 860. As a result, the Company does not expect the adoption of ASU No. 2014-09 to have a material impact on its consolidated financial statements.
 
Credit Losses − In June 2016, the FASB issued ASU 2016-13, Financial Instruments—Credit Losses, an accounting standards update that changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on Available-for-Sale debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. This guidance requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. The Company is evaluating the adoption of this ASU.

Statement of Cash Flows − In August 2016, the FASB issued ASU 2016-15, Classification of Certain Cash Receipts and Cash Payments, an accounting standards update that amends the guidance on the classification of certain cash receipts and cash payments presented within the statement of cash flows to reduce the existing diversity in practice. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements.

Income Taxes − In October 2016, the FASB issued ASU 2016-16, Income Taxes, an accounting standards update that amends the guidance on the classification of income taxes related to the intra-entity transfer of assets other than inventory. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The Company is currently evaluating the effect that this guidance will have on its consolidated financial statements. However, the significance of adoption is dependent on the nature of the transactions and corresponding tax laws in effect at the time of adoption.

Restricted Cash − In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows, an accounting standards update that amends the guidance on restricted cash within the statement of cash flows. The update amends the classification of restricted cash and cash equivalents to be included within cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts. This guidance is effective for annual reporting periods, and interim periods within those annual periods, beginning after December 15, 2017, with early adoption permitted. The adoption will impact the presentation of the cash flows, but will not otherwise have a material impact on the consolidated results of operations or financial condition.
Changes in Presentation
Changes in Presentation

Certain prior period amounts have been reclassified to conform to current period presentation.
XML 36 R25.htm IDEA: XBRL DOCUMENT v3.7.0.1
Basis of Presentation and Significant Accounting Policies (Tables)
 6 Months Ended
Jun. 30, 2017
Basis of Presentation and Significant Accounting Policies [Abstract]  
Summary of Gains and Losses on Sale of Specified Categories of Investments
The following table presents gains and losses on sales of the specified categories of investments for the periods indicated (dollars in thousands):
 
  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
  
2017
  
2016
  
2017
  
2016
 
Realized gain (loss) on RMBS, net
            
Gain on RMBS
 
$
-
  
$
235
  
$
-
  
$
555
 
Loss on RMBS
  
(77
)
  
-
   
(333
)
  
-
 
Net realized gain (loss) on RMBS
  
(77
)
  
235
   
(333
)
  
555
 
Realized gain (loss) on derivatives, net
  
(1,797
)
  
(299
)
  
(2,814
)
  
(1,760
)
Unrealized gain (loss) on derivatives, net
  
(4,633
)
  
(1,228
)
  
(3,551
)
  
(6,426
)
Realized gain (loss) on Excess MSRs, net
  
-
   
-
   
6,678
   
-
 
Unrealized gain (loss) on Excess MSRs, net
  
-
   
(149
)
  
-
   
(2,456
)
Unrealized gain (loss) on MSRs, net
  
(4,507
)
  
(3,076
)
  
7,805
   
(5,308
)
Realized gain (loss) on acquired assets, net
  
-
   
-
   
-
   
-
 
Total
 
$
(11,014
)
 
$
(4,517
)
 
$
7,785
  
$
(15,395
)
XML 37 R26.htm IDEA: XBRL DOCUMENT v3.7.0.1
Segment Reporting (Tables)
 6 Months Ended
Jun. 30, 2017
Segment Reporting [Abstract]  
Summary of Financial Data on CHMI's Segments with Reconciliation
Summary financial data with respect to the Company’s segments is given below, together with a reconciliation to the same data for the Company as a whole (dollars in thousands):

  
Servicing
Related Assets
  
RMBS
  
All Other
  
Total
 
Three Months Ended June 30, 2017
            
Interest income
 
$
-
  
$
10,002
  
$
-
  
$
10,002
 
Interest expense
  
123
   
4,169
   
-
   
4,292
 
Net interest income
  
(123
)
  
5,833
   
-
   
5,710
 
Servicing fee income
  
5,493
   
-
   
-
   
5,493
 
Servicing costs
  
991
   
-
   
-
   
991
 
Net servicing income
  
4,502
   
-
   
-
   
4,502
 
Other income
  
(4,507
)
  
(6,507
)
  
-
   
(11,014
)
Other operating expenses
  
-
   
-
   
2,207
   
2,207
 
(Benefit from) provision for corporate business taxes
  
(1,344
)
  
-
   
-
   
(1,344
)
Net income (loss)
 
$
1,216
 
 
$
(674
)
 
$
(2,207
)
 
$
(1,665
)
Three Months Ended June 30, 2016
                
Interest income
 
$
3,085
  
$
4,050
  
$
-
  
$
7,135
 
Interest expense
  
333
   
1,552
   
-
   
1,885
 
Net interest income
  
2,752
   
2,498
   
-
   
5,250
 
Servicing fee income
  
1,574
   
-
   
-
   
1,574
 
Servicing costs
  
501
   
-
   
-
   
501
 
Net servicing income
  
1,073
   
-
   
-
   
1,073
 
Other income
  
(3,225
)
  
(1,292
)
  
-
   
(4,517
)
Other operating expenses
  
-
   
-
   
1,512
   
1,512
 
(Benefit from) provision for corporate business taxes
  
10
   
-
   
-
   
10
 
Net income (loss)
 
$
590
  
$
1,206
  
$
(1,512
)
 
$
284
 
Six Months Ended June 30, 2017
                
Interest income
 
$
523
  
$
15,557
  
$
-
  
$
16,080
 
Interest expense
  
237
   
6,486
   
-
   
6,723
 
Net interest income
  
286
   
9,071
   
-
   
9,357
 
Servicing fee income
  
10,067
   
-
   
-
   
10,067
 
Servicing costs
  
2,218
   
-
   
-
   
2,218
 
Net servicing income
  
7,849
   
-
   
-
   
7,849
 
Other income
  
14,483
   
(6,698
)
  
-
   
7,785
 
Other operating expenses
  
-
   
-
   
4,074
   
4,074
 
(Benefit from) provision for corporate business taxes
  
(5
)
  
-
   
-
   
(5
)
Net income (loss)
 
$
22,623
  
$
2,373
  
$
(4,074
)
 
$
20,922
 
Six Months Ended June 30, 2016
                
Interest income
 
$
4,529
  
$
7,794
  
$
-
  
$
12,323
 
Interest expense
  
673
   
2,869
   
-
   
3,542
 
Net interest income
  
3,856
   
4,925
   
-
   
8,781
 
Servicing fee income
  
3,069
   
-
   
-
   
3,069
 
Servicing costs
  
903
   
-
   
-
   
903
 
Net servicing income
  
2,166
   
-
   
-
   
2,166
 
Other income
  
(7,764
)
  
(7,631
)
  
-
   
(15,395
)
Other operating expenses
  
-
   
-
   
3,010
   
3,010
 
(Benefit from) provision for corporate business taxes
  
(580
)
  
-
   
-
   
(580
)
Net income (loss)
 
$
(1,162
)
 
$
(2,706
)
 
$
(3,010
)
 
$
(6,878
)
 
Balance Sheet
 
June 30, 2017
            
Investments
 
$
74,455
  
$
1,378,434
  
$
-
  
$
1,452,889
 
Other assets
  
5,768
   
30,523
   
33,447
   
69,738
 
Total assets
  
80,223
   
1,408,957
   
33,447
   
1,522,627
 
Debt
  
35,500
   
1,197,440
   
-
   
1,232,940
 
Other liabilities
  
2,662
   
20,942
   
10,456
   
34,060
 
Total liabilities
  
38,162
   
1,218,382
   
10,456
   
1,267,000
 
Book value
 
$
42,061
  
$
190,575
  
$
22,991
  
$
255,627
 

December 31, 2016
            
Investments
 
$
61,263
  
$
671,904
  
$
-
  
$
733,167
 
Other assets
  
8,826
   
32,495
   
18,390
   
59,711
 
Total assets
  
70,089
   
704,399
   
18,390
   
792,878
 
Debt
  
22,886
   
594,615
   
-
   
617,501
 
Other liabilities
  
2,481
   
9,490
   
7,397
   
19,368
 
Total liabilities
  
25,367
   
604,105
   
7,397
   
636,869
 
Book value
 
$
44,722
  
$
100,294
  
$
10,993
  
$
156,009
 
XML 38 R27.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in RMBS (Tables)
 6 Months Ended
Jun. 30, 2017
Investments in RMBS [Abstract]  
Summary of RMBS Investments
All of the Company’s RMBS are classified as available for sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income except for securities that are OTTI (dollars in thousands):

Summary of RMBS Assets

As of June 30, 2017

 
Original
Face
Value
    
Gross Unrealized
    
Number
of
Securities
 
Weighted Average
 
Asset Type
   
Book
Value
  
Gains
  
Losses
  
Carrying
Value(A)
   
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
RMBS
                  
 
         
Fannie Mae
 
$
933,876
  
$
887,558
  
$
2,951
  
$
(5,308
)
 
$
885,201
   
123
 
(B)
  
3.80
%
  
3.60
%
  
26
 
Freddie Mac
  
450,161
   
426,039
   
1,418
   
(2,201
)
  
425,256
   
52
 
(B)
  
3.79
%
  
3.60
%
  
26
 
CMOs
  
74,225
   
63,649
   
4,328
   
-
   
67,977
   
15
 
Unrated
  
5.04
%
  
5.33
%
  
12
 
Total/Weighted Average
 
$
1,458,262
  
$
1,377,246
  
$
8,697
  
$
(7,509
)
 
$
1,378,434
   
190
 
 
  
3.85
%
  
3.68
%
  
25
 
 
As of December 31, 2016

Original
Face
 Value
   
Gross Unrealized
  
Number
of
Securities
 
Weighted Average
 
Asset Type
 
Book
 Value
 
Gains
 
Losses
 
Carrying
Value(A)
  
Rating
Coupon
 
Yield(C)
 
 
Maturity
(Years)(D)
 
RMBS
            
 
      
Fannie Mae
 
$
493,645
  
$
454,012
  
$
1,517
  
$
(6,592
)
 
$
448,937
   
68
 
(B)
  
3.74
%
  
3.52
%
  
24
 
Freddie Mac
  
222,469
   
200,207
   
587
   
(2,691
)
  
198,103
   
27
 
(B)
  
3.62
%
  
3.44
%
  
26
 
CMOs
  
34,596
   
24,086
   
857
   
(79
)
  
24,864
   
9
 
Unrated
  
4.78
%
  
4.24
%
  
12
 
Total/Weighted Average
 
$
750,710
  
$
678,305
  
$
2,961
  
$
(9,362
)
 
$
671,904
   
104
 
 
  
3.74
%
  
3.53
%
  
24
 
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity.
Summary of RMBS Investments by Maturity
Summary of RMBS Assets by Maturity

As of June 30, 2017

 
Original
Face
Value
    
Gross Unrealized
    
Number
of
Securities
 
Weighted Average
 
Years to Maturity
   
Book
Value
  
Gains
  
Losses
  
Carrying
Value(A)
   
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
5-10 Years
 
$
16,069
  
$
16,696
  
$
283
  
$
(262
)
 
$
16,717
   
3
 
(B)
  
4.27
%
  
4.09
%
  
8
 
Over 10 Years
  
1,442,193
   
1,360,550
   
8,414
   
(7,247
)
  
1,361,717
   
187
 
(B)
  
3.85
%
  
3.67
%
  
26
 
Total/Weighted Average
 
$
1,458,262
  
$
1,377,246
  
$
8,697
  
$
(7,509
)
 
$
1,378,434
   
190
 
 
  
3.85
%
  
3.68
%
  
25
 

As of December 31, 2016

 
Original
Face
Value
    
Gross Unrealized
    
Number
of
Securities
 
Weighted Average
 
Years to Maturity
   
Book
Value
  
Gains
  
Losses
  
Carrying
Value(A)
   
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
5-10 Years
 
$
16,069
  
$
17,110
  
$
185
  
$
(454
)
 
$
16,841
   
3
 
(B)
  
4.18
%
  
3.94
%
  
8
 
Over 10 Years
  
734,641
   
661,195
   
2,776
   
(8,908
)
  
655,063
   
101
 
(B)
  
3.73
%
  
3.52
%
  
24
 
Total/Weighted Average
 
$
750,710
  
$
678,305
  
$
2,961
  
$
(9,362
)
 
$
671,904
   
104
 
 
  
3.74
%
  
3.53
%
  
24
 
 
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity.
Summary of RMBS Securities in an Unrealized Loss Position
The following tables summarize the Company’s securities in an unrealized loss position as of the dates indicated (dollars in thousands):

RMBS Unrealized Loss Positions

As of June 30, 2017
 
              
Weighted Average
 
Duration in Loss
Position
 
Original
Face
Value
  
Book
Value
  
Gross
Unrealized
Losses
  
Carrying
Value(A)
  
Number
of
Securities
 
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
Less than Twelve Months
 
$
583,304
  
$
562,462
  
$
(7,187
)
 
$
555,275
   
77
 
(B)
  
3.69
%
  
3.48
%
  
25
 
Twelve or More Months
  
9,825
   
9,921
   
(323
)
  
9,598
   
1
 
(B)
  
3.50
%
  
3.29
%
  
29
 
Total/Weighted Average
 
$
593,129
  
$
572,383
  
$
(7,510
)
 
$
564,873
   
78
 
 
  
3.69
%
  
3.48
%
  
25
 


As of December 31, 2016
              
Weighted Average
 
Duration in Loss
Position
 
Original
Face
Value
  
Book
Value
  
Gross
Unrealized
Losses
  
Carrying
Value(A)
  
Number
of
Securities
 
Rating
 
Coupon
  
Yield(C)
  
Maturity
(Years)(D)
 
Less than Twelve Months
 
$
494,847
  
$
476,129
  
$
(9,362
)
 
$
466,767
   
68
 
(B)
  
3.65
%
  
3.40
%
  
25
 
Twelve or More Months
  
-
   
-
   
-
   
-
   
-
    
-
%
  
-
%
  
-
 
Total/Weighted Average
 
$
494,847
  
$
476,129
  
$
(9,362
)
 
$
466,767
   
68
 
 
  
3.65
%
  
3.40
%
  
25
 
 
(A)
See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
(B)
The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
(C)
The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
(D)
The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, the Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity.
XML 39 R28.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in Servicing Related Assets (Tables)
 6 Months Ended
Jun. 30, 2017
Investments in Servicing Related Assets [Abstract]  
Summary of Servicing Related Assets
The following is a summary of the Company’s Servicing Related Assets (dollars in thousands):

Servicing Related Assets Summary

As of June 30, 2017
 
  
Unpaid
Principal
Balance
  
Cost Basis
  
Carrying
Value(A)
  
Weighted
Average
Coupon
  
Weighted
Average
Maturity
(Years)(B)
  
Changes in
Fair Value
Recorded in
Other Income
(Loss)
 
MSRs
     
 
            
Conventional
 
$
3,317,157
  
$
34,155
(C)
 
$
31,491
   
3.83
%
  
23.4
   
(2,664
)
Government
  
4,290,023
   
32,495
(C)
  
42,964
   
3.36
%
  
28.3
   
10,469
 
Total
 
$
7,607,180
  
$
66,650
  
$
74,455
   
3.56
%
  
26.1
  
$
7,805
 
 
As of December 31, 2016

  
Unpaid
Principal
Balance
  
Cost Basis
  
Carrying
Value(A)
  
Weighted
Average
Coupon
  
Weighted
Average
Maturity
(Years)(B)
  
Changes in
Fair Value
Recorded in
Other Income
(Loss)(D)
 
Excess MSR Pool 2
  
6,053,142
   
19,754
(E)
  
28,526
   
2.96
%
  
26.3
   
(493
)
Excess MSR Pool 2 - Recapture Agreement
  
-
   
1,187
(E)
  
866
       
-
   
742
 
Conventional MSRs
  
3,262,181
   
35,156
(C)
  
31,871
   
3.81
%
  
23.7
   
(3,285
)
Total
 
$
9,315,323
  
$
56,097
  
$
61,263
   
3.26
%
  
25.4
  
$
(3,036
)
 
(A)
Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9).
(B)
The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
(C)
MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns.
(D)
The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool.
(E)
The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.
Summary of Geographic Concentration of Servicing Related Assets
The tables below summarize the geographic distribution for the states representing 5% or greater of the underlying residential mortgage loans of the Servicing Related Assets:

Geographic Concentration of Servicing Related Assets

As of June 30, 2017

  
Percentage of Total Outstanding
Unpaid Principal Balance
 
California
  
12.0
%
New Jersey
  
7.9
%
Florida
  
6.2
%
Texas
  
5.4
%
Utah
  
5.3
%
All other
  
63.2
%
Total
  
100.0
%

As of December 31, 2016

  
Percentage of Total Outstanding
Unpaid Principal Balance
 
Texas
  
10.0
%
California
  
8.9
%
Florida
  
6.7
%
Virginia
  
5.9
%
North Carolina
  
5.8
%
Georgia
  
5.8
%
New Jersey
  
5.6
%
Washington
  
5.5
%
Colorado
  
5.2
%
All other
  
40.6
%
Total
  
100.0
%
XML 40 R29.htm IDEA: XBRL DOCUMENT v3.7.0.1
Equity and Earnings per Share (Tables)
 6 Months Ended
Jun. 30, 2017
Equity and Earnings per Share [Abstract]  
Information about Company's 2013 Plan
The following tables present certain information about the 2013 Plan as of the dates indicated:

Equity Incentive Plan Information

  
LTIP-OP Units
  
Shares of Common Stock
  
Number of Securities
Remaining Available For
Future Issuance Under Equity
  
Issuance
 
  
Issued
  
Forfeited
  
Issued
  
Forfeited
  
Compensation Plans
  
Price
 
December 31, 2016
  
(140,350
)
  
916
   
(28,503
)
  
3,155
   
1,335,218
    
Number of securities issued or to be issued upon exercise
  
-
   
-
   
-
   
-
   
-
    
March 31, 2017
  
(140,350
)
  
916
   
(28,503
)
  
3,155
   
1,335,218
    
Number of securities issued or to be issued upon exercise
  
(38,150
)
  
-
   
(8,199
)
  
-
   
(46,349
)
 
$
18.30
 
June 30, 2017
  
(178,500
)
  
916
   
(36,702
)
  
3,155
   
1,288,869
     
Schedule of Basic Earnings per Share of Common Stock
The following table presents basic earnings per share of common stock for the periods indicated (dollars in thousands, except per share data):

Earnings per Share Information

  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
  
2017
  
2016
  
2017
  
2016
 
Numerator:
            
Net income allocable to common stockholders and participating securities
 
$
(1,665
)
 
$
284
  
$
20,922
  
$
(6,878
)
Net income allocable to common stockholders
 
$
(1,546
)
 
$
283
  
$
20,629
  
$
(6,780
)
Denominator:
                
Weighted average common shares outstanding
  
12,695,090
   
7,509,543
   
10,164,564
   
7,509,543
 
Weighted average diluted shares outstanding
  
12,701,715
   
7,520,616
   
10,171,031
   
7,519,827
 
Basic and Dilutive:
                
Basic earnings per share
 
$
(0.12
)
 
$
0.04
  
$
2.03
  
$
(0.90
)
Diluted earnings per share
 
$
(0.12
)
 
$
0.04
  
$
2.03
  
$
(0.90
)
XML 41 R30.htm IDEA: XBRL DOCUMENT v3.7.0.1
Transactions with Affiliates and Affiliated Entities (Tables)
 6 Months Ended
Jun. 30, 2017
Transactions with Affiliates and Affiliated Entities [Abstract]  
Management Fee to Affiliate
The Management Agreement provides that the Company will reimburse the Manager for (i) various expenses incurred by the Manager or its officers, and agents on the Company’s behalf, including costs of software, legal, accounting, tax, administrative and other similar services rendered for the Company by providers retained by the Manager and (ii) the allocable portion of the compensation paid to specified officers dedicated to the Company. “Due to affiliates” consisted of the following for the periods indicated (dollars in thousands):

Management Fee to Affiliate

  
Three Months Ended June 30,
  
Six Months Ended June 30,
 
  
2017
  
2016
  
2017
  
2016
 
Management fees
 
$
971
  
$
560
  
$
1,672
  
$
1,120
 
Compensation reimbursement
  
191
   
130
   
382
   
260
 
Total
 
$
1,162
  
$
690
  
$
2,054
  
$
1,380
 
XML 42 R31.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2017
Derivative Instruments [Abstract]  
Summary of Outstanding Notional Amounts of Derivative Instruments
The following table summarizes the outstanding notional amounts of derivative instruments as of the dates indicated (dollars in thousands):

Non-hedge derivatives
 
June 30, 2017
  
December 31, 2016
 
Notional amount of interest rate swaps
 
$
781,650
  
$
415,850
 
Notional amount of swaptions
  
100,000
   
70,000
 
Notional amount of TBAs, net
  
(17,000
)
  
(6,000
)
Notional amount of Treasury futures
  
-
   
50,000
 
Notional amount of options on Treasury futures
  
-
   
20,000
 
Total notional amount
 
$
864,650
  
$
549,850
 
Summary of Information about Company's Interest Rate Swap Agreements
The following table presents information about the Company’s interest rate swap agreements as of the dates indicated (dollars in thousands):

  
Notional
Amount
  
Weighted
Average Pay
Rate
  
Weighted
Average
Receive Rate
  
Weighted
Average Years
to Maturity
 
June 30, 2017
 
$
781,650
   
1.78
%
  
1.18
%
  
5.3
 
December 31, 2016
 
$
415,850
   
1.46
%
  
0.90
%
  
4.8
 

The following table presents information about the Company’s interest rate swaption agreements as of the dates indicated (dollars in thousands):

  
Notional
Amount
  
Weighted
Average Pay
Rate
  
Weighted
Average Receive
Rate(A)
  
Weighted
Average Years
to Maturity
 
June 30, 2017
 
$
100,000
   
2.79
%
  
LIBOR-BBA
%  
10.7
 
December 31, 2016
 
$
70,000
   
2.74
%
  
LIBOR-BBA
%  
10.9
 
 
(A)
Floats in accordance with LIBOR.
Summary of Realized Gain (Loss) Related to Derivatives
The following table presents information about derivatives realized gain (loss), which is included on the consolidated statement of income (loss) for the periods indicated (dollars in thousands):
 
Realized Gains (Losses) on Derivatives

     
Three Months Ended June 30,
  
Six Months Ended June 30,
 
Non-Hedge Derivatives
 
Consolidated Statements of Income (Loss) Location
 
2017
  
2016
  
2017
  
2016
 
Interest rate swaps
 
Realized gain (loss) on derivatives, net
 
$
(436
)
 
$
(398
)
 
$
(595
)
 
$
(1,748
)
Swaptions
 
Realized gain (loss) on derivatives, net
  
-
   
(140
)
  
(69
)
  
(140
)
TBAs
 
Realized gain (loss) on derivatives, net
  
(402
)
  
56
   
(514
)
  
(26
)
Treasury futures
 
Realized gain (loss) on derivatives, net
  
(959
)
  
183
   
(1,636
)
  
154
 
Total
 
 
 
$
(1,797
)
 
$
(299
)
 
$
(2,814
)
 
$
(1,760
)
Summary of Offsetting Assets
The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2017

  
Gross
  
Gross
  
Net Amounts
of Assets
  
Gross Amounts Not Offset in the
Consolidated Balance Sheet
   
 
 
Amounts of
Recognized
Assets or
Liabilities
  
Amounts
Offset in the
Consolidated
Balance Sheet
  
Presented in
the
Consolidated
Balance Sheet
  
Financial
Instruments
  
Cash
Collateral
Received
(Pledged)
  
Net Amount
 
Assets
                  
Interest rate swaps
 
$
6,303
  
$
-
  
$
6,303
  
$
(6,303
)
 
$
-
  
$
-
 
Swaptions
  
727
   
-
   
727
   
(727
)
  
-
   
-
 
TBAs
  
76
   
-
   
76
   
(76
)
  
-
   
-
 
Treasury futures
  
-
   
-
   
-
   
-
   
(144
)
   (144) 
Total Assets
 
$
7,106
  
$
-
  
$
7,106
  
$
(7,106
)
 
$
(144
)
 
$
(144
) 
 
 
As of December 31, 2016

 
Gross
 
Gross
Amounts
 
Net Amounts
of Assets
Presented in
 
Gross Amounts Not Offset in
the Consolidated Balance
Sheet
   
 
Amounts of
Recognized
Assets or
Liabilities
 
Offset in the
Consolidated
Balance
Sheet
 
the
Consolidated
Balance
Sheet
 
Financial
Instruments
 
Cash
Collateral
Received
(Pledged)
 
Net Amount
 
Assets
            
Interest rate swaps
 
$
7,639
  
$
-
  
$
7,639
  
$
(7,639
)
 
$
-
  
$
-
 
Swaptions
  
1,482
   
-
   
1,482
   
(1,482
)
  
-
   
-
 
Total Assets
 
$
9,121
  
$
-
  
$
9,121
  
$
(9,121
)
 
$
-
  
$
-
 
Summary of Offsetting Liabilities
The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s consolidated balance sheets as of the dates indicated (dollars in thousands):

Offsetting Assets and Liabilities

As of June 30, 2017

Liabilities
                        
Repurchase agreements
 
$
1,197,440
  
$
-
  
$
1,197,440
  
$
(1,191,663
)
 
$
(5,777
)
 
$
-
 
Interest rate swaps
  
3,265
   
-
   
3,265
   
10,096
   
(13,361
)
  
-
 
Total Liabilities
 
$
1,200,705
  
$
-
  
$
1,200,705
  
$
(1,181,567
)
 
$
(19,138
)
 
$
-
 
 
As of December 31, 2016

Liabilities
                        
Repurchase agreements
 
$
594,615
  
$
-
  
$
594,615
  
$
(574,181
)
 
$
(20,434
)
 
$
-
 
Interest rate swaps
  
339
   
-
   
339
   
-
   
(339
)
  
-
 
TBAs
  
75
   
-
   
75
   
(75
)
  
-
   
-
 
Treasury futures
  
280
   
-
   
280
   
526
   
(806
)
  
-
 
Total Liabilities
 
$
595,309
  
$
-
  
$
595,309
  
$
(573,730
)
 
$
(21,579
)
 
$
-
 
XML 43 R32.htm IDEA: XBRL DOCUMENT v3.7.0.1
Fair Value (Tables)
 6 Months Ended
Jun. 30, 2017
Fair Value [Abstract]  
Company's Assets and Liabilities Measured at Fair Value on Recurring Basis
The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis as of the dates indicated (dollars in thousands).

Recurring Fair Value Measurements

As of June 30, 2017

  
Level 1
  
Level 2
  
Level 3
  
Carrying Value
 
Assets
            
RMBS
            
Fannie Mae
 
$
-
  
$
885,201
  
$
-
  
$
885,201
 
Freddie Mac
  
-
   
425,256
   
-
   
425,256
 
CMOs
  
-
   
67,977
   
-
   
67,977
 
RMBS total
  
-
   
1,378,434
   
-
   
1,378,434
 
Derivative assets
                
Interest rate swaps
  
-
   
6,303
   
-
   
6,303
 
Interest rate swaptions
  
-
   
727
   
-
   
727
 
TBAs
  
-
   
76
   
-
   
76
 
Derivative assets total
  
-
   
7,106
   
-
   
7,106
 
Servicing related assets
  
-
   
-
   
74,455
   
74,455
 
Total Assets
 
$
-
  
$
1,385,540
  
$
74,455
  
$
1,459,995
 
Liabilities
                
Derivative liabilities
                
Interest rate swaps
  
-
   
3,265
   
-
   
3,265
 
Derivative liabilities total
  
-
   
3,265
   
-
   
3,265
 
Total Liabilities
 
$
-
  
$
3,265
  
$
-
  
$
3,265
 
 
As of December 31, 2016

  
Level 1
  
Level 2
  
Level 3
  
Carrying Value
 
Assets
            
RMBS
            
Fannie Mae
 
$
-
  
$
448,937
  
$
-
  
$
448,937
 
Freddie Mac
  
-
   
198,103
   
-
   
198,103
 
CMOs
  
-
   
24,864
   
-
   
24,864
 
RMBS total
  
-
   
671,904
   
-
   
671,904
 
Derivative assets
                
Interest rate swaps
  
-
   
7,639
   
-
   
7,639
 
Interest rate swaptions
  
-
   
1,482
   
-
   
1,482
 
Derivative assets total
  
-
   
9,121
   
-
   
9,121
 
Servicing related assets
  
-
   
-
   
61,263
   
61,263
 
Total Assets
 
$
-
  
$
681,025
  
$
61,263
  
$
742,288
 
Liabilities
                
Derivative liabilities
                
Interest rate swaps
  
-
   
339
   
-
   
339
 
TBAs
  
-
   
75
   
-
   
75
 
Treasury futures
  
-
   
280
   
-
   
280
 
Derivative liabilities total
  
-
   
694
   
-
   
694
 
Total Liabilities
 
$
-
  
$
694
  
$
-
  
$
694
 
Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis
The tables below present the reconciliation for the Company’s Level 3 assets (Servicing Related Assets) measured at fair value on a recurring basis as of the dates indicated (dollars in thousands):
 
Level 3 Fair Value Measurements
 
As of June 30, 2017

  
Level 3 (A)
 
  
Pool 2
  
MSRs
  
Total
 
Balance at December 31, 2016
 
$
29,392
  
$
31,871
  
$
61,263
 
Purchases, sales and principal paydowns:
            
Purchases
  
-
   
35,800
   
35,800
 
Sales
  (35,905)  -   (35,905)
Other changes (B)
  
6,513
   
(1,021
)
  
5,492
 
Purchases, sales and principal paydowns:
 
$
(29,392
)
 
$
34,779
  
$
5,387
 
Changes in Fair Value due to:
            
Changes in valuation inputs or assumptions used in valuation model
  
-
   
10,425
   
10,425
 
Other changes in fair value (C)
  
-
   
(2,620
)
  
(2,620
)
Unrealized gain (loss) included in Net Income
 
$
-
  
$
7,805
  
$
7,805
 
Balance at June 30, 2017
 
$
-
  
$
74,455
  
$
74,455
 

As of December 31, 2016

  
Level 3 (A)
 
  
Pool 1
  
Pool 2
  
Excess MSR Pool 2014
  
MSRs
  
Total
 
Balance at December 31, 2015
 
$
43,482
  
$
33,054
  
$
1,506
  
$
19,761
  
$
97,803
 
Purchases, sales and principal paydowns:
                    
Purchases
  
-
   
-
   
-
   
16,179
   
16,179
 
Sales
  
(39,916
)
  
-
   
(1,179
)
  
-
   
(41,095
)
Proceeds from principal paydowns
  
(3,566
)
  
(3,911
)
  
(327
)
  
-
   
(7,804
)
Other changes (B)
  
-
   
-
   
-
   
(784
)
  
(784
)
Purchases, sales and principal paydowns:
 
$
(43,482
)
 
$
(3,911
)
 
$
(1,506
)
 
$
15,395
  
$
(33,504
)
Changes in Fair Value due to:
                    
Changes in valuation inputs or assumptions used in valuation model
  
-
   
249
   
-
   
227
   
476
 
Other changes in fair value (C)
  
-
   
-
   
-
   
(3,512
)
  
(3,512
)
Unrealized gain (loss) included in Net Income
 
$
-
  
$
249
  
$
-
  
$
(3,285
)
 
$
(3,036
)
Balance at December 31, 2016
 
$
-
  
$
29,392
  
$
-
  
$
31,871
  
$
61,263
 
 
(A)
Includes the recapture agreement for each respective pool.
(B)
Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral.
(C)
Represents changes due to realization of expected cash flows.
Significant Unobservable Inputs Used in Fair Value Measurement
The tables below present information about the significant unobservable inputs used in the fair value measurement of the Company’s Servicing Related Assets classified as Level 3 fair value assets as of the dates indicated (dollars in thousands):

Fair Value Measurements

As of June 30, 2017
 
 
Fair Value
Valuation Technique
Unobservable Input (A)
 
Range
 
Weighted
Average
 
MSRs
  
 
 
 
 
 
  
 
  
Conventional
 
$
31,491
 
Discounted cash flow
 
Constant prepayment speed
  
6.9% - 20.2
%
  
11.2
%
    
 
 
 
Uncollected payments
 
 
0.4% - 5.2
%
 
 
0.9
%
      
Discount rate
      
9.3
%
    
 
 
Annual cost to service, per loan
 
   
   
$
71
 
Government
 
$
42,964
 
Discounted cash flow
 
Constant prepayment speed
  
5.1% - 17.3
%
  
8.7
%
    
 
 
 
Uncollected payments
 
 
1.8% - 39.5
%
 
 
3.8
%
       
Discount rate
      
12.0
%
    
 
 
 
Annual cost to service, per loan
 
   
   
$
98
 
TOTAL
 $
74,455
 
Discounted cash flow
         
 
As of December 31, 2016
 
  
Fair Value
 
Valuation Technique
 
Unobservable Input (A)
 
Range
  
Weighted
Average
 
Excess MSR Pool 2
 
$
29,392
 
Discounted cash flow
 
Constant prepayment speed
  
7.8% - 31.9
%
  
14.3
%
      
Uncollected Payments
  
8.3% - 13.1
%
  
11.9
%
     
 
 
Discount rate
      
16.2
%
Conventional MSRs
 
$
31,871
 
Discounted cash flow
 
Constant prepayment speed
  
7.1% - 24.9
%
  
10.6
%
     
 
 
Uncollected payments
  
0.8% - 1.4
%
  
1.3
%
      
Discount rate
      
9.3
%
     
 
 
Annual cost to service, per loan
     
$
64
 
TOTAL
 
$
61,263
 
Discounted cash flow
          
 
(A)
Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.
XML 44 R33.htm IDEA: XBRL DOCUMENT v3.7.0.1
Repurchase Agreements (Tables)
 6 Months Ended
Jun. 30, 2017
Repurchase Agreements [Abstract]  
Repurchase Agreements Remaining Maturities and Weighted Average Rates
The repurchase agreements had the following remaining maturities and weighted average rates as of the dates indicated (dollars in thousands):

Repurchase Agreement Characteristics

As of June 30, 2017

  
Repurchase Agreements
  
Weighted Average Rate
 
Less than one month
 
$
366,298
   
1.13
%
One to three months
  
565,295
   
1.17
%
Greater than three months
  
265,847
   
1.29
%
Total/Weighted Average
 
$
1,197,440
   
1.19
%


As of December 31, 2016

  
Repurchase Agreements
  
Weighted Average Rate
 
Less than one month
 
$
60,690
   
1.14
%
One to three months
  
456,502
   
0.91
%
Greater than three months
  
77,423
   
0.90
%
Total/Weighted Average
 
$
594,615
   
0.93
%
XML 45 R34.htm IDEA: XBRL DOCUMENT v3.7.0.1
Notes Payable (Tables)
 6 Months Ended
Jun. 30, 2017
Notes Payable [Abstract]  
Outstanding Long-Term Borrowings Remaining Maturities
The outstanding long-term borrowings had the following remaining maturities as of the dates indicated (dollars in thousands):

Long-Term Borrowings Repayment Characteristics

As of June 30, 2017
 
 
2017
  
2018
  
2019
  
2020
  
2021
  2022  
Total
 
MSR Term Facility
                     
Borrowings under MSR Term Facility
 
$
1,000
  
$
2,000
  
$
2,000
  
$
2,000
  
$
2,000
  
$
11,000
  
$
20,000
 
MSR Financing Facility
                            
Borrowings under MSR Financing Facility
 
$
-
  
$
295
  
$
1,222
  
$
1,289
  
$
12,694
  
$
-
  
$
15,500
 
Total
 
$
1,000
  
$
2,295
  
$
3,222
  
$
3,289
  
$
14,694
  
$
11,000
  
$
35,500
 
 
As of December 31, 2016

  
2017
  
2018
  
2019
  
2020
  
2021
  
Total
 
Term Loan
                  
Borrowings under Term Loan
 
$
2,841
  
$
3,005
  
$
3,040
  
$
-
  
$
-
  
$
8,886
 
MSR Financing Facility
                        
Borrowings under Financing Facility
 
$
-
  
$
271
  
$
1,118
  
$
1,175
  
$
11,436
  
$
14,000
 
Total
 
$
2,841
  
$
3,276
  
$
4,158
  
$
1,175
  
$
11,436
  
$
22,886
 
XML 46 R35.htm IDEA: XBRL DOCUMENT v3.7.0.1
Receivables and Other Assets (Tables)
 6 Months Ended
Jun. 30, 2017
Receivables and Other Assets [Abstract]  
Receivables and Other Assets
The assets comprising “Receivables and other assets” as of June 30, 2017 and December 31, 2016 are summarized in the following table (dollars in thousands):

Receivables and Other Assets

  
June 30, 2017
  
December 31, 2016
 
Excess servicing income receivable
 
$
1,250
  
$
5,598
 
Servicing advances
  
2,402
   
1,432
 
Interest receivable
  
4,273
   
2,069
 
Repurchased loans held for sale
  
1,570
   
1,570
 
Other receivables
  
3,335
   
1,628
 
Total other assets
 
$
12,830
  
$
12,297
 
XML 47 R36.htm IDEA: XBRL DOCUMENT v3.7.0.1
Income Taxes (Tables)
 6 Months Ended
Jun. 30, 2017
Income Taxes [Abstract]  
Components of Income Tax Expense (Benefit)
The components of the Company’s income tax expense (benefit) are as follows for the periods indicated below (dollars in thousands):

  
Six Months Ended June 30, 
 
  
2017
  
2016
 
Current federal income tax expense
 
$
112
  
$
-
 
Current state income tax expense
  
21
   
-
 
Deferred federal income tax expense (benefit)
  
(134
)
  
(522
)
Deferred state income tax expense (benefit)
  
(4
)
  
(58
)
Total Income Tax Expense
 
$
(5
)  
$
(580
)
Reconciliation of Statutory Federal Rate to Effective Rate
The following is a reconciliation of the statutory federal rate to the effective rate, for the periods indicated below (dollars in thousands):

  
Six Months Ended June 30,
 
  
2017
  
2016
 
Computed income tax (benefit) expense at federal rate
 
$
7,321
   
35.0
%
 
$
(2,610
)
  
35.0
%
State taxes, net of federal benefit, if applicable
  
-
   
-
%
  
(58
)
  
0.8
%
Permanent differences in taxable income from GAAP pre-tax income
  
-
   
-
%
  
-
   
-
%
REIT income not subject to tax
  
(7,326
)
  
(35.0
)%
  
2,088
   
(28.0
)%
(Benefit from) Provision for Income Taxes/Effective Tax Rate(A)
 
$
(5
)   
0.0
%
 
$
(580
)
  
7.8
%

(A)
The provision for income taxes is recorded at the TRS level.
Summary of Current and Deferred Tax Liabilities and Assets
The Company’s consolidated balance sheets, at June 30, 2017 and December 31, 2016, contain the following current and deferred tax liabilities and assets, which are recorded at the TRS level (dollars in thousands):

  
Six Months Ended June 30,  
 
  
2017
  
2016
 
Income taxes payable
      
Federal income taxes payable
 
$
650
  
$
-
 
State and local income taxes payable
  
82
   
-
 
Income taxes payable
 
$
732
  
$
-
 

  
June 30, 2017
  
December 31, 2016
 
Deferred tax (assets) liabilities
      
Deferred tax - organizational expenses
 
$
(51
)
 
$
(53
)
Deferred tax - mortgage servicing rights
  
(480
)  
(340
)
Total net deferred tax (assets) liabilities
 
$
(531
) 
$
(393
)
XML 48 R37.htm IDEA: XBRL DOCUMENT v3.7.0.1
Organization and Operations (Details) - USD ($)
 6 Months Ended
Mar. 29, 2017
Jun. 30, 2017
Jun. 30, 2016
Dec. 31, 2016
Dec. 31, 2013
Dec. 31, 2012
Organization and Operations [Abstract]            
Common stock, shares authorized (in shares)   500,000,000   500,000,000 500,000,000 1,000
Preferred stock, shares authorized (in shares)   100,000,000   100,000,000 100,000,000  
Common stock, par value (in dollars per share)   $ 0.01   $ 0.01 $ 0.01  
Preferred stock, par value (in dollars per share)   0.01   $ 0.01 $ 0.01  
Common stock issued and sold (in shares) 5,175,000          
Common stock issued, price per share (in dollars per share) $ 0.01 $ 18.30        
Common stock issued and sold $ 81,100,000 $ 80,940,000 $ 75,000      
Stock issuance expense $ 229,000          
Date of conducting IPO and concurrent private placement of common stock   Oct. 09, 2013        
XML 49 R38.htm IDEA: XBRL DOCUMENT v3.7.0.1
Basis of Presentation and Significant Accounting Policies (Details)
$ in Thousands
 3 Months Ended 6 Months Ended 12 Months Ended
Jun. 30, 2017
USD ($)
Loan
Jun. 30, 2016
USD ($)
Jun. 30, 2017
USD ($)
Loan
Jun. 30, 2016
USD ($)
Dec. 31, 2016
USD ($)
Loan
Mar. 31, 2017
USD ($)
Investment in RMBS [Abstract]            
Payables for unsettled trades $ 14,872   $ 14,872   $ 6,202  
Number of purchased loans | Loan 0   0   5  
Mortgage loans with an outstanding principal balance $ 0   $ 0   $ 1,600  
Number of loans sold | Loan 0   4      
Cash and Cash Equivalents and Restricted Cash [Abstract]            
Restricted cash $ 19,282   $ 19,282   22,469  
Realized gain (loss) on RMBS, net [Abstract]            
Gain on RMBS 0 $ 235 0 $ 555    
Loss on RMBS (77) 0 (333) 0    
Net realized gain (loss) on RMBS (77) 235 (333) 555    
Realized gain (loss) on derivatives, net (1,797) (299) (2,814) (1,760)    
Unrealized gain (loss) on derivatives, net (4,633) (1,228) (3,551) (6,426)    
Realized gain (loss) on Excess MSRs, net 0 0 6,678 0    
Unrealized gain (loss) on Excess MSRs, net 0 (149) 0 (2,456)    
Unrealized gain (loss) on MSRs, net (4,507) (3,076) 7,805 (5,308)    
Realized gain (loss) on acquired assets, net 0 0 0 0    
Total (11,014) $ (4,517) 7,785 $ (15,395)    
Term Loan [Member]            
Cash and Cash Equivalents and Restricted Cash [Abstract]            
Restricted cash 0   0   1,100  
Maximum borrowing amount 25,000   25,000      
RMBS [Member]            
Investment in RMBS [Abstract]            
Payables for unsettled trades 14,872   14,872     $ 6,202
OTTI securities 77   77   173  
Derivatives [Member]            
Cash and Cash Equivalents and Restricted Cash [Abstract]            
Restricted cash 13,500   13,500   1,100  
Repurchase Agreements [Member]            
Cash and Cash Equivalents and Restricted Cash [Abstract]            
Restricted cash 5,800   5,800   20,400  
Receivables and Other Assets [Member] | RMBS [Member]            
Investment in RMBS [Abstract]            
Income receivable 4,300   4,300   2,000  
Receivables and Other Assets [Member] | Excess Mortgage Service Right [Member]            
Investment in RMBS [Abstract]            
Income receivable 1,300   1,300   5,600  
Receivables and Other Assets [Member] | Reimbursable Servicing Advances [Member]            
Investment in RMBS [Abstract]            
Income receivable $ 2,400   $ 2,400   $ 1,400  
XML 50 R39.htm IDEA: XBRL DOCUMENT v3.7.0.1
Segment Reporting (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Dec. 31, 2016
Segment Reporting Information [Line Items]          
Interest income $ 10,002 $ 7,135 $ 16,080 $ 12,323  
Interest expense 4,292 1,885 6,723 3,542  
Net interest income 5,710 5,250 9,357 8,781  
Servicing fee income 5,493 1,574 10,067 3,069  
Servicing costs 991 501 2,218 903  
Net servicing income 4,502 1,073 7,849 2,166  
Other income (11,014) (4,517) 7,785 (15,395)  
Other operating expenses 2,207 1,512 4,074 3,010  
(Benefit from) provision for corporate business taxes (1,344) 10 (5) [1] (580) [1]  
Net Income (Loss) (1,665) 284 20,922 (6,878)  
Investments 1,452,889   1,452,889   $ 733,167
Other assets 69,738   69,738   59,711
Total Assets 1,522,627   1,522,627   792,878
Debt 1,232,940   1,232,940   617,501
Other liabilities 34,060   34,060   19,368
Total Liabilities 1,267,000   1,267,000   636,869
Book value 255,627   255,627   156,009
Servicing Related Assets [Member] | Operating Segments [Member]          
Segment Reporting Information [Line Items]          
Interest income 0 3,085 523 4,529  
Interest expense 123 333 237 673  
Net interest income (123) 2,752 286 3,856  
Servicing fee income 5,493 1,574 10,067 3,069  
Servicing costs 991 501 2,218 903  
Net servicing income 4,502 1,073 7,849 2,166  
Other income (4,507) (3,225) 14,483 (7,764)  
Other operating expenses 0 0 0 0  
(Benefit from) provision for corporate business taxes (1,344) 10 (5) (580)  
Net Income (Loss) 1,216 590 22,623 (1,162)  
Investments 74,455   74,455   61,263
Other assets 5,768   5,768   8,826
Total Assets 80,223   80,223   70,089
Debt 35,500   35,500   22,886
Other liabilities 2,662   2,662   2,481
Total Liabilities 38,162   38,162   25,367
Book value 42,061   42,061   44,722
RMBS [Member] | Operating Segments [Member]          
Segment Reporting Information [Line Items]          
Interest income 10,002 4,050 15,557 7,794  
Interest expense 4,169 1,552 6,486 2,869  
Net interest income 5,833 2,498 9,071 4,925  
Servicing fee income 0 0 0 0  
Servicing costs 0 0 0 0  
Net servicing income 0 0 0 0  
Other income (6,507) (1,292) (6,698) (7,631)  
Other operating expenses 0 0 0 0  
(Benefit from) provision for corporate business taxes 0 0 0 0  
Net Income (Loss) (674) 1,206 2,373 (2,706)  
Investments 1,378,434   1,378,434   671,904
Other assets 30,523   30,523   32,495
Total Assets 1,408,957   1,408,957   704,399
Debt 1,197,440   1,197,440   594,615
Other liabilities 20,942   20,942   9,490
Total Liabilities 1,218,382   1,218,382   604,105
Book value 190,575   190,575   100,294
All Other [Member]          
Segment Reporting Information [Line Items]          
Interest income 0 0 0 0  
Interest expense 0 0 0 0  
Net interest income 0 0 0 0  
Servicing fee income 0 0 0 0  
Servicing costs 0 0 0 0  
Net servicing income 0 0 0 0  
Other income 0 0 0 0  
Other operating expenses 2,207 1,512 4,074 3,010  
(Benefit from) provision for corporate business taxes 0 0 0 0  
Net Income (Loss) (2,207) $ (1,512) (4,074) $ (3,010)  
Investments 0   0   0
Other assets 33,447   33,447   18,390
Total Assets 33,447   33,447   18,390
Debt 0   0   0
Other liabilities 10,456   10,456   7,397
Total Liabilities 10,456   10,456   7,397
Book value $ 22,991   $ 22,991   $ 10,993
[1] The provision for income taxes is recorded at the TRS level.
XML 51 R40.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in RMBS (Details)
$ in Thousands
 3 Months Ended 6 Months Ended 12 Months Ended
Jun. 30, 2017
USD ($)
Jun. 30, 2017
USD ($)
Security
Dec. 31, 2016
USD ($)
Security
Schedule of Available-for-sale Securities [Line Items]      
Carrying value $ 1,378,434 $ 1,378,434 $ 671,904
Carrying value of collateral for repurchase agreements 1,251,770 1,251,770 608,560
OTTI charges recognized in earnings 77 77 173
RMBS [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Original face value 1,458,262 1,458,262 750,710
Book value 1,377,246 1,377,246 678,305
Gross unrealized gains 8,697 8,697 2,961
Gross unrealized losses (7,509) (7,509) (9,362)
Carrying value [1] $ 1,378,434 $ 1,378,434 $ 671,904
Number of securities | Security   190 104
Weighted average coupon   3.85% 3.74%
Weighted average yield [2] 3.68% 3.68% 3.53%
Weighted average maturity [3]   25 years 24 years
Carrying value of collateral for repurchase agreements $ 1,251,770 $ 1,251,770 $ 608,560
RMBS [Member] | Fannie Mae [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Original face value 933,876 933,876 493,645
Book value 887,558 887,558 454,012
Gross unrealized gains 2,951 2,951 1,517
Gross unrealized losses (5,308) (5,308) (6,592)
Carrying value [1] $ 885,201 $ 885,201 $ 448,937
Number of securities | Security   123 68
Weighted average rating [4]  
Weighted average coupon   3.80% 3.74%
Weighted average yield [2] 3.60% 3.60% 3.52%
Weighted average maturity [3]   26 years 24 years
RMBS [Member] | Freddie Mac [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Original face value $ 450,161 $ 450,161 $ 222,469
Book value 426,039 426,039 200,207
Gross unrealized gains 1,418 1,418 587
Gross unrealized losses (2,201) (2,201) (2,691)
Carrying value [1] $ 425,256 $ 425,256 $ 198,103
Number of securities | Security   52 27
Weighted average rating [4]  
Weighted average coupon   3.79% 3.62%
Weighted average yield [2] 3.60% 3.60% 3.44%
Weighted average maturity [3]   26 years 26 years
RMBS [Member] | CMOs [Member]      
Schedule of Available-for-sale Securities [Line Items]      
Original face value $ 74,225 $ 74,225 $ 34,596
Book value 63,649 63,649 24,086
Gross unrealized gains 4,328 4,328 857
Gross unrealized losses 0 0 (79)
Carrying value [1] $ 67,977 $ 67,977 $ 24,864
Number of securities | Security   15 9
Weighted average rating   Unrated Unrated
Weighted average coupon   5.04% 4.78%
Weighted average yield [2] 5.33% 5.33% 4.24%
Weighted average maturity [3]   12 years 12 years
[1] See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2] The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
[3] The weighted average stated maturity.
[4] The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
XML 52 R41.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in RMBS, Assets by Maturity (Details)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2017
USD ($)
Security
Dec. 31, 2016
USD ($)
Security
Schedule of Available-for-sale Securities [Line Items]    
Carrying value $ 1,378,434 $ 671,904
RMBS [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Original face value 1,458,262 750,710
Book value 1,377,246 678,305
Gross unrealized gains 8,697 2,961
Gross unrealized losses (7,509) (9,362)
Carrying value [1] $ 1,378,434 $ 671,904
Number of securities | Security 190 104
Weighted average coupon 3.85% 3.74%
Weighted average yield [2] 3.68% 3.53%
Weighted average maturity [3] 25 years 24 years
RMBS [Member] | 5-10 Years [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Original face value $ 16,069 $ 16,069
Book value 16,696 17,110
Gross unrealized gains 283 185
Gross unrealized losses (262) (454)
Carrying value [1] $ 16,717 $ 16,841
Number of securities | Security 3 3
Weighted average rating [4]
Weighted average coupon 4.27% 4.18%
Weighted average yield [2] 4.09% 3.94%
Weighted average maturity [3] 8 years 8 years
RMBS [Member] | Over 10 Years [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Original face value $ 1,442,193 $ 734,641
Book value 1,360,550 661,195
Gross unrealized gains 8,414 2,776
Gross unrealized losses (7,247) (8,908)
Carrying value [1] $ 1,361,717 $ 655,063
Number of securities | Security 187 101
Weighted average rating [4]
Weighted average coupon 3.85% 3.73%
Weighted average yield [2] 3.67% 3.52%
Weighted average maturity [3] 26 years 24 years
[1] See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2] The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
[3] The weighted average stated maturity.
[4] The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
XML 53 R42.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in RMBS, Unrealized Loss Positions (Details)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2017
USD ($)
Security
Dec. 31, 2016
USD ($)
Security
Schedule of Available-for-sale Securities [Line Items]    
Carrying value $ 1,378,434 $ 671,904
RMBS [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Original face value 1,458,262 750,710
Book value 1,377,246 678,305
Gross unrealized losses (7,509) (9,362)
Carrying value [1] $ 1,378,434 $ 671,904
Number of securities | Security 190 104
Weighted average coupon 3.85% 3.74%
Weighted average yield [2] 3.68% 3.53%
Weighted average maturity [3] 25 years 24 years
RMBS [Member] | Unrealized Loss Positions [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Original face value $ 593,129 $ 494,847
Book value 572,383 476,129
Gross unrealized losses (7,510) (9,362)
Carrying value [1] $ 564,873 $ 466,767
Number of securities | Security 78 68
Weighted average coupon 3.69% 3.65%
Weighted average yield [2] 3.48% 3.40%
Weighted average maturity [4] 25 years 25 years
RMBS [Member] | Unrealized Loss Positions [Member] | Less than Twelve Months [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Original face value $ 583,304 $ 494,847
Book value 562,462 476,129
Gross unrealized losses (7,187) (9,362)
Carrying value [1] $ 555,275 $ 466,767
Number of securities | Security 77 68
Weighted average rating [5]
Weighted average coupon 3.69% 3.65%
Weighted average yield [2] 3.48% 3.40%
Weighted average maturity [4] 25 years 25 years
RMBS [Member] | Unrealized Loss Positions [Member] | Twelve or More Months [Member]    
Schedule of Available-for-sale Securities [Line Items]    
Original face value $ 9,825 $ 0
Book value 9,921 0
Gross unrealized losses (323) 0
Carrying value [1] $ 9,598 $ 0
Number of securities | Security 1 0
Weighted average rating [5]  
Weighted average coupon 3.50% 0.00%
Weighted average yield [2] 3.29% 0.00%
Weighted average maturity [4] 29 years 0 years
[1] See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2] The weighted average yield is based on the most recent annualized monthly interest income, divided by the book value of settled securities.
[3] The weighted average stated maturity.
[4] The weighted average stated maturity. Except for the security for which the Company has recognized OTTI, the Company does not intend to sell the investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases which may be maturity.
[5] The Company used an implied AAA rating for the Fannie Mae and Freddie Mac securities, other than collateralized mortgage obligations, which are unrated.
XML 54 R43.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in Servicing Related Assets (Details)
$ in Thousands
 6 Months Ended
Jun. 30, 2014
USD ($)
Mar. 31, 2014
USD ($)
Feb. 28, 2014
USD ($)
Jun. 30, 2017
USD ($)
Portfolio
Dec. 31, 2016
USD ($)
May 29, 2015
USD ($)
Oct. 31, 2013
USD ($)
Investment [Line Items]              
Mortgage loans with an outstanding principal balance       $ 0 $ 1,600    
Aurora Financial Group, Inc [Member]              
Investment [Line Items]              
Aggregate unpaid principal balance           $ 718,400  
Excess MSR Pool 1 [Member]              
Investment [Line Items]              
Mortgage loans with an outstanding principal balance             $ 10,000,000
Weighted average mortgage servicing amount on unpaid balance             0.28%
Amount representing reasonable compensation for performing the servicing duties             0.08%
Excess mortgage servicing amount             0.20%
Excess MSR Pool 1 [Member] | Aurora Financial Group, Inc [Member]              
Investment [Line Items]              
Acquired servicing rights, excess mortgage servicing amount       85.00%      
Refinancing of loans       $ 60,600      
Percentage of co-investment in excess MSRs, pari passu       15.00%      
Excess MSR Pool 2 [Member]              
Investment [Line Items]              
Mortgage loans with an outstanding principal balance             $ 10,700,000
Weighted average mortgage servicing amount on unpaid balance             0.44%
Amount representing reasonable compensation for performing the servicing duties             0.10%
Excess mortgage servicing amount             0.34%
Excess MSR Pool 2 [Member] | Aurora Financial Group, Inc [Member]              
Investment [Line Items]              
Acquired servicing rights, excess mortgage servicing amount       50.00%      
Refinancing of loans       $ 38,400      
Percentage of co-investment in excess MSRs, pari passu       50.00%      
Freedom Mortgage Excess Service Right [Member]              
Investment [Line Items]              
Aggregate unpaid principal balance $ 98,100 $ 159,800 $ 76,800        
Excess mortgage servicing acquired 85.00% 71.00% 85.00%        
Excess mortgage servicing acquired, amount $ 661 $ 946 $ 567        
Mortgage Servicing Rights (MSRs) [Member] | Aurora Financial Group, Inc [Member]              
Investment [Line Items]              
Mortgage loans with an outstanding principal balance       $ 3,400,000      
Number of portfolios | Portfolio       4      
XML 55 R44.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in Servicing Related Assets, Summary (Details) - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2017
Dec. 31, 2016
Investment [Line Items]    
Unpaid principal balance $ 7,607,180 $ 9,315,323
Cost basis 66,650 56,097
Carrying value [1] $ 74,455 $ 61,263
Weighted average coupon 3.56% 3.26%
Weighted average maturity [2] 26 years 1 month 6 days 25 years 4 months 24 days
Changes in fair value recorded in other income (loss) $ 7,805 $ (3,036) [3]
Excess MSR Pool 2 [Member]    
Investment [Line Items]    
Unpaid principal balance   6,053,142
Cost basis [4]   19,754
Carrying value [1]   $ 28,526
Weighted average coupon   2.96%
Weighted average maturity [2]   26 years 3 months 18 days
Changes in fair value recorded in other income (loss) [3]   $ (493)
Excess MSR Pool 2 - Recapture Agreement [Member]    
Investment [Line Items]    
Unpaid principal balance   0
Cost basis [4]   1,187
Carrying value [1]   $ 866
Weighted average maturity [2]   0 years
Changes in fair value recorded in other income (loss) [3]   $ 742
Mortgage Service Right Conventional [Member]    
Investment [Line Items]    
Unpaid principal balance 3,317,157 3,262,181
Cost basis [5] 34,155 35,156
Carrying value [1] $ 31,491 $ 31,871
Weighted average coupon 3.83% 3.81%
Weighted average maturity [2] 23 years 4 months 24 days 23 years 8 months 12 days
Changes in fair value recorded in other income (loss) $ (2,664) $ (3,285) [3]
Mortgage Service Right Government [Member]    
Investment [Line Items]    
Unpaid principal balance 4,290,023  
Cost basis [5] 32,495  
Carrying value [1] $ 42,964  
Weighted average coupon 3.36%  
Weighted average maturity [2] 28 years 3 months 18 days  
Changes in fair value recorded in other income (loss) $ 10,469  
[1] Carrying value represents the fair value of the pools or recapture agreements, as applicable (see Note 9).
[2] The weighted average maturity represents the weighted average expected timing of the receipt of cash flows of each investment.
[3] The portion of the change in fair value of the recapture agreement relating to loans recaptured as of June 30, 2017 and December 31, 2016 is reflected in the respective pool.
[4] The amortized cost basis of the recapture agreements is determined based on the relative fair values of the recapture agreements and related Excess MSRs at the time they were acquired.
[5] MSR cost basis consists of the carrying value of the prior period, adjusted for any purchases, sales and principal paydowns.
XML 56 R45.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments in Servicing Related Assets, Geographic Concentration (Details)
Jun. 30, 2017
Dec. 31, 2016
Investment [Line Items]    
Outstanding unpaid principal balance 100.00% 100.00%
California [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance 12.00% 8.90%
New Jersey [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance 7.90% 5.60%
Texas [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance 5.40% 10.00%
Utah [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance 5.30%  
Florida [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance 6.20% 6.70%
Virginia [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance   5.90%
North Carolina [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance   5.80%
Georgia [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance   5.80%
Washington [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance   5.50%
Colorado [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance   5.20%
All Other [Member]    
Investment [Line Items]    
Outstanding unpaid principal balance 63.20% 40.60%
XML 57 R46.htm IDEA: XBRL DOCUMENT v3.7.0.1
Equity and Earnings per Share, Equity (Details) - USD ($)
 3 Months Ended 6 Months Ended
Jun. 14, 2017
Jun. 15, 2016
Sep. 09, 2015
Jan. 27, 2014
Jun. 30, 2017
Mar. 31, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Mar. 29, 2017
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Beginning Balance (in shares)         1,335,218 1,335,218   1,335,218    
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans During the Period (in shares)         (46,349) 0        
Number of Securities Remaining Available for Future Issuance under Equity Compensation Plans, Ending Balance (in shares)         1,288,869 1,335,218   1,288,869    
Issuance Price (in dollars per share)         $ 18.30     $ 18.30   $ 0.01
LTIP-OP Units [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
LTIP-OP Units, Beginning Balance (in shares)         (140,350) (140,350)   (140,350)    
LTIP-OP Units Issued Upon Exercise (in shares)         (38,150) 0        
LTIP-OP Units, Ending Balance (in shares)         (178,500) (140,350)   (178,500)    
LTIP-OP Units Forfeited, Beginning Balance (in shares)         916 916   916    
LTIP-OP Units Forfeited During The Period (in shares)         0 0        
LTIP-OP Units Forfeited, Ending Balance (in shares)         916 916   916    
LTIP-OP unit vesting period               3 years    
LTIP-OP unit vested (in shares)               98,934    
Share-based compensation expense recognized         $ 146,000   $ 135,000 $ 281,000 $ 282,000  
Unrecognized share-based compensation expense         $ 1,300,000     $ 1,300,000    
LTIP-OP Units [Member] | Maximum [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Period of recognition of unrecognized share-based compensation expense               3 years    
Common Stock [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Shares of Common Stock Issued, Beginning Balance (in shares)         (28,503) (28,503)   (28,503)    
Shares of Common Stock Exercised During The Period (in shares)         (8,199) 0        
Shares of Common Stock Issued, Ending Balance (in shares)         (36,702) (28,503)   (36,702)    
Shares of Common Stock Forfeited, Beginning Balance (in shares)         3,155 3,155   3,155    
Shares of Common Stock Forfeited During The Period (in shares)         0 0        
Shares of Common Stock Forfeited, Ending Balance (in shares)         3,155 3,155   3,155    
2013 Plan [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Number of share equivalent to unit awarded (in shares)               1    
2013 Plan [Member] | January 27, 2014 [Member] | Common Stock [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value       $ 10,000            
Aggregate grant date fair value (in shares)       1,590            
2013 Plan [Member] | January 27, 2014 [Member] | Common Stock [Member] | Directors [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value (in shares)       530            
2013 Plan [Member] | January 27, 2014 [Member] | Restricted Common Stock [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value       $ 50,000            
Aggregate grant date fair value (in shares)       7,953            
Forfeiture period of restricted shares               1 year    
2013 Plan [Member] | January 27, 2014 [Member] | Restricted Common Stock [Member] | Directors [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value (in shares)       2,651            
2013 Plan [Member] | September 9, 2015 [Member] | Restricted Common Stock [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value     $ 50,000              
Aggregate grant date fair value (in shares)     9,495              
Forfeiture period of restricted shares               1 year    
2013 Plan [Member] | September 9, 2015 [Member] | Restricted Common Stock [Member] | Directors [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value (in shares)     3,165              
2013 Plan [Member] | June 15, 2016 [Member] | Restricted Common Stock [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value   $ 50,000                
Aggregate grant date fair value (in shares)   9,465                
Forfeiture period of restricted shares               1 year    
2013 Plan [Member] | June 15, 2016 [Member] | Restricted Common Stock [Member] | Directors [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value (in shares)   3,155                
2013 Plan [Member] | June 14 2017 [Member] | Restricted Common Stock [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value $ 50,000                  
Aggregate grant date fair value (in shares) 8,199                  
Forfeiture period of restricted shares               1 year    
2013 Plan [Member] | June 14 2017 [Member] | Restricted Common Stock [Member] | Directors [Member]                    
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]                    
Aggregate grant date fair value (in shares) 2,733                  
XML 58 R47.htm IDEA: XBRL DOCUMENT v3.7.0.1
Equity and Earnings per Share, Non-Controlling Interests (Details) - LTIP-OP Units [Member]
Jun. 30, 2017
shares
Noncontrolling Interest [Line Items]  
Number of LTIP units owned by non-controlling interest holders in Operating Partnership (in shares) 177,584
Percentage of operating partnership 1.40%
XML 59 R48.htm IDEA: XBRL DOCUMENT v3.7.0.1
Equity and Earnings per Share, Earnings per Share (Details) - USD ($)
$ / shares in Units, $ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Numerator [Abstract]        
Net income allocable to common stockholders and participating securities $ (1,665) $ 284 $ 20,922 $ (6,878)
Net income allocable to common stockholders $ (1,546) $ 283 $ 20,629 $ (6,780)
Denominator [Abstract]        
Weighted average common shares outstanding (in shares) 12,695,090 7,509,543 10,164,564 7,509,543
Weighted average diluted shares outstanding (in shares) 12,701,715 7,520,616 10,171,031 7,519,827
Basic and Dilutive [Abstract]        
Basic earnings per share (in dollars per share) $ (0.12) $ 0.04 $ 2.03 $ (0.90)
Diluted earnings per share (in dollars per share) $ (0.12) $ 0.04 $ 2.03 $ (0.90)
Anti-dilutive securities (in shares) 0 0 0 0
XML 60 R49.htm IDEA: XBRL DOCUMENT v3.7.0.1
Transactions with Affiliates and Affiliated Entities (Details)
 3 Months Ended 6 Months Ended
Nov. 15, 2016
USD ($)
Jun. 30, 2017
USD ($)
Loan
Jun. 30, 2016
USD ($)
Jun. 30, 2017
USD ($)
Loan
Jun. 30, 2016
USD ($)
Jan. 31, 2017
USD ($)
Related Party Transaction [Line Items]            
Renew of management agreement subject to termination       1 year    
Percentage of annual management fee paid equal to gross equity       1.50%    
Subservicing agreement initial term       3 years    
Subservicing agreement additional term       3 years    
Cash proceeds from sale of mortgage loans $ 38,000,000          
Management fees   $ 971,000 $ 560,000 $ 1,672,000 $ 1,120,000  
Compensation reimbursement   191,000 130,000 382,000 260,000  
Total   $ 1,162,000 $ 690,000 $ 2,054,000 $ 1,380,000  
Freedom Mortgage Excess Service Right [Member]            
Related Party Transaction [Line Items]            
Joint marketing recapture agreement initial term       1 year    
Joint marketing recapture agreement automatic renewals term       1 year    
Joint marketing recapture agreement termination notice period       60 days    
Number of MSRs loans | Loan   35   75    
Aggregate unpaid principal balance   $ 6,800,000   $ 17,000,000    
Amount due to affiliated entity   5,200   $ 29,800    
Period of monthly yield maintenance payment       12 months    
Yield maintenance payment   $ 3,000,000   $ 3,000,000    
Freedom Mortgage Excess Service Right [Member] | NexBank Term Loan [Member]            
Related Party Transaction [Line Items]            
Repayment of outstanding borrowings 12,000,000          
Outstanding borrowings $ 25,000,000          
Aurora Financial Group Inc [Member] | Ginnie Mae MSRs [Member]            
Related Party Transaction [Line Items]            
Weighted average servicing fee           0.30%
Aggregate unpaid principal balance           $ 4,500,000,000
XML 61 R50.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments, Summary of Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2017
Dec. 31, 2016
Notional Amount of Interest Rate Swaps [Member]    
Derivative [Line Items]    
Total notional amount $ 781,650 $ 415,850
Weighted average pay rate 1.78% 1.46%
Weighted average receive rate 1.18% 0.90%
Weighted average years to maturity 5 years 3 months 18 days 4 years 9 months 18 days
Notional Amount of Swaptions [Member]    
Derivative [Line Items]    
Total notional amount $ 100,000 $ 70,000
Weighted average pay rate 2.79% 2.74%
Weighted average receive rate type [1] LIBOR-BBA% LIBOR-BBA%
Weighted average years to maturity 10 years 8 months 12 days 10 years 10 months 24 days
Not Designated as Hedging Instrument [Member]    
Derivative [Line Items]    
Total notional amount $ 864,650 $ 549,850
Not Designated as Hedging Instrument [Member] | Notional Amount of Interest Rate Swaps [Member]    
Derivative [Line Items]    
Total notional amount 781,650 415,850
Not Designated as Hedging Instrument [Member] | Notional Amount of Swaptions [Member]    
Derivative [Line Items]    
Total notional amount 100,000 70,000
Not Designated as Hedging Instrument [Member] | Notional Amount of TBAs, Net [Member] | Short [Member]    
Derivative [Line Items]    
Total notional amount 17,000 6,000
Not Designated as Hedging Instrument [Member] | Notional Amount of Treasury Futures [Member]    
Derivative [Line Items]    
Total notional amount 0 50,000
Not Designated as Hedging Instrument [Member] | Notional Amount of Options on Treasury Futures [Member]    
Derivative [Line Items]    
Total notional amount $ 0 $ 20,000
[1] Floats in accordance with LIBOR.
XML 62 R51.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments, Summary of Realized Gain (Loss) Related to Derivatives (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Derivative Instruments, Gain (Loss) [Line Items]        
Gain/(loss) on derivatives $ (1,797) $ (299) $ (2,814) $ (1,760)
Not Designated as Hedging Instrument [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain/(loss) on derivatives (1,797) (299) (2,814) (1,760)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Interest Rate Swaps [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain/(loss) on derivatives (436) (398) (595) (1,748)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Swaptions [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain/(loss) on derivatives 0 (140) (69) (140)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | TBAs [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain/(loss) on derivatives (402) 56 (514) (26)
Not Designated as Hedging Instrument [Member] | Realized Gain (Loss) on Derivatives, Net [Member] | Treasury Futures [Member]        
Derivative Instruments, Gain (Loss) [Line Items]        
Gain/(loss) on derivatives $ (959) $ 183 $ (1,636) $ 154
XML 63 R52.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments, Offsetting Assets (Details) - USD ($)
$ in Thousands
Jun. 30, 2017
Dec. 31, 2016
Offsetting Derivative Assets [Abstract]    
Gross amounts of recognized assets or liabilities $ 7,106 $ 9,121
Gross amounts offset in the consolidated balance sheet 0 0
Net amounts of assets presented in the consolidated balance sheet 7,106 9,121
Gross amounts not offset in the consolidated balance sheet in financial instruments (7,106) (9,121)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) (144) 0
Net amount (144) 0
Interest Rate Swaps [Member]    
Offsetting Derivative Assets [Abstract]    
Gross amounts of recognized assets or liabilities 6,303 7,639
Gross amounts offset in the consolidated balance sheet 0 0
Net amounts of assets presented in the consolidated balance sheet 6,303 7,639
Gross amounts not offset in the consolidated balance sheet in financial instruments (6,303) (7,639)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) 0 0
Net amount 0 0
Swaptions [Member]    
Offsetting Derivative Assets [Abstract]    
Gross amounts of recognized assets or liabilities 727 1,482
Gross amounts offset in the consolidated balance sheet 0 0
Net amounts of assets presented in the consolidated balance sheet 727 1,482
Gross amounts not offset in the consolidated balance sheet in financial instruments (727) (1,482)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) 0 0
Net amount 0 $ 0
TBAs [Member]    
Offsetting Derivative Assets [Abstract]    
Gross amounts of recognized assets or liabilities 76  
Gross amounts offset in the consolidated balance sheet 0  
Net amounts of assets presented in the consolidated balance sheet 76  
Gross amounts not offset in the consolidated balance sheet in financial instruments (76)  
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) 0  
Net amount 0  
Treasury Futures [Member]    
Offsetting Derivative Assets [Abstract]    
Gross amounts of recognized assets or liabilities 0  
Gross amounts offset in the consolidated balance sheet 0  
Net amounts of assets presented in the consolidated balance sheet 0  
Gross amounts not offset in the consolidated balance sheet in financial instruments 0  
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) (144)  
Net amount $ (144)  
XML 64 R53.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments, Offsetting Liabilities (Details) - USD ($)
$ in Thousands
Jun. 30, 2017
Dec. 31, 2016
Offsetting Derivative Liabilities [Abstract]    
Gross amounts of recognized assets or liabilities $ 1,200,705 $ 595,309
Gross amounts offset in the consolidated balance sheet 0 0
Net amounts of assets presented in the consolidated balance sheet 1,200,705 595,309
Gross amounts not offset in the consolidated balance sheet in financial instruments (1,181,567) (573,730)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) (19,138) (21,579)
Net amount 0 0
Repurchase Agreements [Member]    
Offsetting Derivative Liabilities [Abstract]    
Gross amounts of recognized assets or liabilities 1,197,440 594,615
Gross amounts offset in the consolidated balance sheet 0 0
Net amounts of assets presented in the consolidated balance sheet 1,197,440 594,615
Gross amounts not offset in the consolidated balance sheet in financial instruments (1,191,663) (574,181)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) (5,777) (20,434)
Net amount 0 0
Interest Rate Swaps [Member]    
Offsetting Derivative Liabilities [Abstract]    
Gross amounts of recognized assets or liabilities 3,265 339
Gross amounts offset in the consolidated balance sheet 0 0
Net amounts of assets presented in the consolidated balance sheet 3,265 339
Gross amounts not offset in the consolidated balance sheet in financial instruments 10,096 0
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged) (13,361) (339)
Net amount $ 0 0
TBAs [Member]    
Offsetting Derivative Liabilities [Abstract]    
Gross amounts of recognized assets or liabilities   75
Gross amounts offset in the consolidated balance sheet   0
Net amounts of assets presented in the consolidated balance sheet   75
Gross amounts not offset in the consolidated balance sheet in financial instruments   (75)
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)   0
Net amount   0
Treasury Futures [Member]    
Offsetting Derivative Liabilities [Abstract]    
Gross amounts of recognized assets or liabilities   280
Gross amounts offset in the consolidated balance sheet   0
Net amounts of assets presented in the consolidated balance sheet   280
Gross amounts not offset in the consolidated balance sheet in financial instruments   526
Gross amounts not offset in the consolidated balance sheet in cash collateral received (pledged)   (806)
Net amount   $ 0
XML 65 R54.htm IDEA: XBRL DOCUMENT v3.7.0.1
Fair Value, Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($)
$ in Thousands
Jun. 30, 2017
Dec. 31, 2016
Assets [Abstract]    
Derivative assets total $ 7,106 $ 9,121
Servicing related assets 74,455 61,263
Liabilities [Abstract]    
Derivative liabilities total 3,265 694
Interest Rate Swaps [Member]    
Assets [Abstract]    
Derivative assets total 6,303 7,639
Interest Rate Swaptions [Member]    
Assets [Abstract]    
Derivative assets total 727 $ 1,482
TBAs [Member]    
Assets [Abstract]    
Derivative assets total 76  
Treasury Futures [Member]    
Assets [Abstract]    
Derivative assets total $ 0  
Level 2 [Member] | RMBS [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Percentage of derivative instruments classified as fair value assets and liabilities 100.00% 100.00%
Level 3 [Member] | Excess MSRs [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Percentage of derivative instruments classified as fair value assets and liabilities 0.00% 100.00%
Level 3 [Member] | MSRs [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Percentage of derivative instruments classified as fair value assets and liabilities 100.00% 100.00%
Fair Value, Measurements, Recurring [Member] | Level 1 [Member]    
Assets [Abstract]    
Derivative assets total $ 0 $ 0
Servicing related assets 0 0
Total Assets 0 0
Liabilities [Abstract]    
Derivative liabilities total 0 0
Total Liabilities 0 0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member]    
Assets [Abstract]    
RMBS total 0 0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | Fannie Mae [Member]    
Assets [Abstract]    
RMBS total 0 0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | Freddie Mac [Member]    
Assets [Abstract]    
RMBS total 0 0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | RMBS [Member] | CMOs [Member]    
Assets [Abstract]    
RMBS total 0 0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swaps [Member]    
Assets [Abstract]    
Derivative assets total 0 0
Liabilities [Abstract]    
Derivative liabilities total 0 0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Interest Rate Swaptions [Member]    
Assets [Abstract]    
Derivative assets total 0 0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | TBAs [Member]    
Assets [Abstract]    
Derivative assets total 0  
Liabilities [Abstract]    
Derivative liabilities total   0
Fair Value, Measurements, Recurring [Member] | Level 1 [Member] | Treasury Futures [Member]    
Liabilities [Abstract]    
Derivative liabilities total   0
Fair Value, Measurements, Recurring [Member] | Level 2 [Member]    
Assets [Abstract]    
Derivative assets total 7,106 9,121
Servicing related assets 0 0
Total Assets 1,385,540 681,025
Liabilities [Abstract]    
Derivative liabilities total 3,265 694
Total Liabilities 3,265 694
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member]    
Assets [Abstract]    
RMBS total 1,378,434 671,904
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | Fannie Mae [Member]    
Assets [Abstract]    
RMBS total 885,201 448,937
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | Freddie Mac [Member]    
Assets [Abstract]    
RMBS total 425,256 198,103
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | RMBS [Member] | CMOs [Member]    
Assets [Abstract]    
RMBS total 67,977 24,864
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swaps [Member]    
Assets [Abstract]    
Derivative assets total 6,303 7,639
Liabilities [Abstract]    
Derivative liabilities total 3,265 339
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Interest Rate Swaptions [Member]    
Assets [Abstract]    
Derivative assets total 727 1,482
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | TBAs [Member]    
Assets [Abstract]    
Derivative assets total 76  
Liabilities [Abstract]    
Derivative liabilities total   75
Fair Value, Measurements, Recurring [Member] | Level 2 [Member] | Treasury Futures [Member]    
Liabilities [Abstract]    
Derivative liabilities total   280
Fair Value, Measurements, Recurring [Member] | Level 3 [Member]    
Assets [Abstract]    
Derivative assets total 0 0
Servicing related assets 74,455 61,263
Total Assets 74,455 61,263
Liabilities [Abstract]    
Derivative liabilities total 0 0
Total Liabilities 0 0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member]    
Assets [Abstract]    
RMBS total 0 0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | Fannie Mae [Member]    
Assets [Abstract]    
RMBS total 0 0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | Freddie Mac [Member]    
Assets [Abstract]    
RMBS total 0 0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | RMBS [Member] | CMOs [Member]    
Assets [Abstract]    
RMBS total 0 0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swaps [Member]    
Assets [Abstract]    
Derivative assets total 0 0
Liabilities [Abstract]    
Derivative liabilities total 0 0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Interest Rate Swaptions [Member]    
Assets [Abstract]    
Derivative assets total 0 0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | TBAs [Member]    
Assets [Abstract]    
Derivative assets total 0  
Liabilities [Abstract]    
Derivative liabilities total   0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Treasury Futures [Member]    
Liabilities [Abstract]    
Derivative liabilities total   0
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member]    
Assets [Abstract]    
Derivative assets total 7,106 9,121
Servicing related assets 74,455 61,263
Total Assets 1,459,995 742,288
Liabilities [Abstract]    
Derivative liabilities total 3,265 694
Total Liabilities 3,265 694
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member]    
Assets [Abstract]    
RMBS total 1,378,434 671,904
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | Fannie Mae [Member]    
Assets [Abstract]    
RMBS total 885,201 448,937
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | Freddie Mac [Member]    
Assets [Abstract]    
RMBS total 425,256 198,103
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | RMBS [Member] | CMOs [Member]    
Assets [Abstract]    
RMBS total 67,977 24,864
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaps [Member]    
Assets [Abstract]    
Derivative assets total 6,303 7,639
Liabilities [Abstract]    
Derivative liabilities total 3,265 339
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Interest Rate Swaptions [Member]    
Assets [Abstract]    
Derivative assets total 727 1,482
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | TBAs [Member]    
Assets [Abstract]    
Derivative assets total $ 76  
Liabilities [Abstract]    
Derivative liabilities total   75
Fair Value, Measurements, Recurring [Member] | Carrying Value [Member] | Treasury Futures [Member]    
Liabilities [Abstract]    
Derivative liabilities total   $ 280
Derivative Instruments [Member] | Level 2 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Percentage of derivative instruments classified as fair value assets and liabilities 100.00% 100.00%
XML 66 R55.htm IDEA: XBRL DOCUMENT v3.7.0.1
Fair Value, Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Dec. 31, 2016
Changes in Fair Value due to:      
Unrealized gain (loss) included in Net Income $ 7,805 $ (7,764)  
Fair Value, Measurements, Recurring [Member] | Level 3 [Member]      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]      
Beginning balance [1] 61,263 97,803 $ 97,803
Purchases, sales and principal paydowns [Abstract]      
Purchases [1] 35,800   16,179
Sales [1] (35,905)   (41,095)
Proceeds from principal paydowns [1]     (7,804)
Other changes [1],[2] 5,492   (784)
Purchases, sales and principal paydowns [1] 5,387   (33,504)
Changes in Fair Value due to:      
Changes in valuation inputs or assumptions used in valuation model [1] 10,425   476
Other changes in fair value [1],[3] (2,620)   (3,512)
Unrealized gain (loss) included in Net Income [1] 7,805   (3,036)
Ending balance [1] 74,455   61,263
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 1 [Member]      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]      
Beginning balance [1] 0 43,482 43,482
Purchases, sales and principal paydowns [Abstract]      
Purchases [1]     0
Sales [1]     (39,916)
Proceeds from principal paydowns [1]     (3,566)
Other changes [1],[2]     0
Purchases, sales and principal paydowns [1]     (43,482)
Changes in Fair Value due to:      
Changes in valuation inputs or assumptions used in valuation model [1]     0
Other changes in fair value [1],[3]     0
Unrealized gain (loss) included in Net Income [1]     0
Ending balance [1]     0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Pool 2 [Member]      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]      
Beginning balance [1] 29,392 33,054 33,054
Purchases, sales and principal paydowns [Abstract]      
Purchases [1] 0   0
Sales [1] (35,905)   0
Proceeds from principal paydowns [1]     (3,911)
Other changes [1],[2] 6,513   0
Purchases, sales and principal paydowns [1] (29,392)   (3,911)
Changes in Fair Value due to:      
Changes in valuation inputs or assumptions used in valuation model [1] 0   249
Other changes in fair value [1],[3] 0   0
Unrealized gain (loss) included in Net Income [1] 0   249
Ending balance [1] 0   29,392
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Excess MSR Pool 2014 [Member]      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]      
Beginning balance [1] 0 1,506 1,506
Purchases, sales and principal paydowns [Abstract]      
Purchases [1]     0
Sales [1]     (1,179)
Proceeds from principal paydowns [1]     (327)
Other changes [1],[2]     0
Purchases, sales and principal paydowns [1]     (1,506)
Changes in Fair Value due to:      
Changes in valuation inputs or assumptions used in valuation model [1]     0
Other changes in fair value [1],[3]     0
Unrealized gain (loss) included in Net Income [1]     0
Ending balance [1]     0
Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | MSRs [Member]      
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]      
Beginning balance [1] 31,871 $ 19,761 19,761
Purchases, sales and principal paydowns [Abstract]      
Purchases [1] 35,800   16,179
Sales [1] 0   0
Proceeds from principal paydowns [1]     0
Other changes [1],[2] (1,021)   (784)
Purchases, sales and principal paydowns [1] 34,779   15,395
Changes in Fair Value due to:      
Changes in valuation inputs or assumptions used in valuation model [1] 10,425   227
Other changes in fair value [1],[3] (2,620)   (3,512)
Unrealized gain (loss) included in Net Income [1] 7,805   (3,285)
Ending balance [1] $ 74,455   $ 31,871
[1] Includes the recapture agreement for each respective pool.
[2] Represents purchase price adjustments, principally contractual prepayment protection, and changes due to the Company's repurchase of the underlying collateral.
[3] Represents changes due to realization of expected cash flows.
XML 67 R56.htm IDEA: XBRL DOCUMENT v3.7.0.1
Fair Value, Significant Unobservable Inputs Used in Fair Value Measurement (Details) - Level 3 [Member] - Discounted Cash Flow [Member] - USD ($)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2017
Dec. 31, 2016
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value $ 74,455 $ 61,263
Excess MSR Pool 2 [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value   $ 29,392
Excess MSR Pool 2 [Member] | Minimum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1]   7.80%
Uncollected Payments [1]   8.30%
Excess MSR Pool 2 [Member] | Maximum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1]   31.90%
Uncollected Payments [1]   13.10%
Excess MSR Pool 2 [Member] | Weighted Average [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1]   14.30%
Uncollected Payments [1]   11.90%
Discount rate [1]   16.20%
MSRs Conventional [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value 31,491 $ 31,871
Annual cost to service, per loan [1] $ 71 $ 64
MSRs Conventional [Member] | Minimum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1] 6.90% 7.10%
Uncollected Payments [1] 0.40% 0.80%
MSRs Conventional [Member] | Maximum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1] 20.20% 24.90%
Uncollected Payments [1] 5.20% 1.40%
MSRs Conventional [Member] | Weighted Average [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1] 11.20% 10.60%
Uncollected Payments [1] 0.90% 1.30%
Discount rate [1] 9.30% 9.30%
MSRs Government [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value $ 42,964  
Annual cost to service, per loan [1] $ 98  
MSRs Government [Member] | Minimum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1] 5.10%  
Uncollected Payments [1] 1.80%  
MSRs Government [Member] | Maximum [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1] 17.30%  
Uncollected Payments [1] 39.50%  
MSRs Government [Member] | Weighted Average [Member]    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Constant prepayment speed [1] 8.70%  
Uncollected Payments [1] 3.80%  
Discount rate [1] 12.00%  
[1] Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurements. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of uncollected payments and a directionally opposite change in the assumption used for prepayment rates.
XML 68 R57.htm IDEA: XBRL DOCUMENT v3.7.0.1
Commitments and Contingencies (Details) - USD ($)
$ in Millions
 6 Months Ended
Jun. 30, 2017
Dec. 31, 2016
Commitments and Contingencies [Abstract]    
Percentage of annual management fee paid equal to gross equity 1.50%  
Accruals of legal and regulatory claims $ 0.0 $ 0.0
Securities obligated to purchase 14.9 0.0
Securities obligated to sell $ 0.0 $ 6.0
XML 69 R58.htm IDEA: XBRL DOCUMENT v3.7.0.1
Repurchase Agreements (Details)
$ in Thousands
 6 Months Ended 12 Months Ended
Jun. 30, 2017
USD ($)
Security
Dec. 31, 2016
USD ($)
Security
Repurchase Agreements [Abstract]    
Repurchase agreements outstanding $ 1,197,400 $ 594,600
Weighted average of remaining maturities days 58 days 65 days
Repurchase Agreement Characteristics Remaining Maturities [Abstract]    
Less than one month, repurchase agreements $ 366,298 $ 60,690
One to three months, repurchase agreements 565,295 456,502
Greater than three months, repurchase agreements 265,847 77,423
Total repurchase agreements $ 1,197,440 $ 594,615
Repurchase Agreement Characteristics, Weighted Average Rates [Abstract]    
Less than one month, weighted average rate 1.13% 1.14%
One to three months, weighted average rate 1.17% 0.91%
Greater than three months, weighted average rate 1.29% 0.90%
Weighted average rate 1.19% 0.93%
Number of overnight or demand securities | Security 0 0
XML 70 R59.htm IDEA: XBRL DOCUMENT v3.7.0.1
Notes Payable (Details) - USD ($)
$ in Thousands
 6 Months Ended
Jun. 30, 2017
May 31, 2017
Dec. 31, 2016
Sep. 30, 2016
Maturities of Long-Term Borrowings [Abstract]        
2017 $ 1,000   $ 2,841  
2018 2,295   3,276  
2019 3,222   4,158  
2020 3,289   1,175  
2021 14,694   11,436  
2022 11,000      
Long-term borrowings $ 35,500   22,886  
MSR Financing Facility [Member]        
Debt Instrument [Line Items]        
Maximum borrowing amount       $ 25,000
Debt instrument term 2 years      
Debt instrument term of variable rate 1 month      
Debt instrument conversion term 3 years      
Period of variable spread rate basis on interest rate swap 1 year      
Debt instrument, amortization period 10 years      
Maturities of Long-Term Borrowings [Abstract]        
2017 $ 0   0  
2018 295   271  
2019 1,222   1,118  
2020 1,289   1,175  
2021 12,694   11,436  
2022 0      
Long-term borrowings $ 15,500   14,000  
Term Loan [Member]        
Maturities of Long-Term Borrowings [Abstract]        
2017     2,841  
2018     3,005  
2019     3,040  
2020     0  
2021     0  
Long-term borrowings     8,886  
Term Loan [Member] | Secured Notes Payable [Member]        
Debt Instrument [Line Items]        
Maximum borrowing amount     $ 25,000  
MSR Term Loan [Member]        
Debt Instrument [Line Items]        
Maximum borrowing amount   $ 20,000    
Interest rate on loans payable   6.18%    
Debt instrument, amortization period 10 years      
Debt instrument maturity date May 18, 2020      
Maturities of Long-Term Borrowings [Abstract]        
2017 $ 1,000      
2018 2,000      
2019 2,000      
2020 2,000      
2021 2,000      
2022 11,000      
Long-term borrowings $ 20,000      
XML 71 R60.htm IDEA: XBRL DOCUMENT v3.7.0.1
Receivables and Other Assets (Details)
$ in Thousands
 3 Months Ended 6 Months Ended 12 Months Ended
Jun. 30, 2017
USD ($)
Loan
Jun. 30, 2017
USD ($)
Loan
Dec. 31, 2016
USD ($)
Loan
Receivables and Other Assets [Abstract]      
Excess servicing income receivable $ 1,250 $ 1,250 $ 5,598
Servicing advances 2,402 2,402 1,432
Interest receivable 4,273 4,273 2,069
Repurchased loans held for sale 1,570 1,570 1,570
Other receivables 3,335 3,335 1,628
Total other assets $ 12,830 $ 12,830 $ 12,297
Number of purchased loans | Loan 0 0 5
Mortgage loans with an outstanding principal balance $ 0 $ 0 $ 1,600
Number of loans sold | Loan 0 4  
XML 72 R61.htm IDEA: XBRL DOCUMENT v3.7.0.1
Income Taxes (Details) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Dec. 31, 2016
Components of Income Tax Expense (Benefit) [Abstract]          
Current federal income tax expense     $ 112 $ 0  
Current state income tax expense     21 0  
Deferred federal income tax expense (benefit)     (134) (522)  
Deferred state income tax expense (benefit)     (4) (58)  
Total Income Tax Expense $ (1,344) $ 10 (5) [1] (580) [1]  
Effective Income Tax Rate Reconciliation, Amount [Abstract]          
Computed income tax (benefit) expense at federal rate     7,321 (2,610)  
State taxes, net of federal benefit, if applicable     0 (58)  
Permanent differences in taxable income from GAAP pre-tax income     0 0  
REIT income not subject to tax     (7,326) 2,088  
Total Income Tax Expense (1,344) $ 10 $ (5) [1] $ (580) [1]  
Effective Income Tax Rate Reconciliation, Percent [Abstract]          
Computed income tax (benefit) expense at federal rate     35.00% 35.00%  
State taxes, net of federal benefit, if applicable     0.00% 0.80%  
Permanent differences in taxable income from GAAP pre-tax income     0.00% 0.00%  
REIT income not subject to tax     (35.00%) (28.00%)  
(Benefit from) Provision for Income Taxes/Effective Tax Rate [1]     0.00% 7.80%  
Income taxes payable [Abstract]          
Federal income taxes payable     $ 650 $ 0  
State and local income taxes payable     82 0  
Income taxes payable     732 $ 0  
Deferred tax (assets) liabilities [Abstract]          
Deferred tax - organizational expenses (51)   (51)   $ (53)
Deferred tax - mortgage servicing rights (480)   (480)   (340)
Total net deferred tax (assets) liabilities (531)   (531)   (393)
Valuation allowance $ 0   $ 0   $ 0
[1] The provision for income taxes is recorded at the TRS level.
XML 73 Show.js IDEA: XBRL DOCUMENT /** * Rivet Software Inc. * * @copyright Copyright (c) 2006-2011 Rivet Software, Inc. All rights reserved. * Version 2.4.0.3 * */ var Show = {}; Show.LastAR = null, Show.hideAR = function(){ Show.LastAR.style.display = 'none'; }; Show.showAR = function ( link, id, win ){ if( Show.LastAR ){ Show.hideAR(); } var ref = link; do { ref = ref.nextSibling; } while (ref && ref.nodeName != 'TABLE'); if (!ref || ref.nodeName != 'TABLE') { var tmp = win ? win.document.getElementById(id) : document.getElementById(id); if( tmp ){ ref = tmp.cloneNode(true); ref.id = ''; link.parentNode.appendChild(ref); } } if( ref ){ ref.style.display = 'block'; Show.LastAR = ref; } }; Show.toggleNext = function( link ){ var ref = link; do{ ref = ref.nextSibling; }while( ref.nodeName != 'DIV' ); if( ref.style && ref.style.display && ref.style.display == 'none' ){ ref.style.display = 'block'; if( link.textContent ){ link.textContent = link.textContent.replace( '+', '-' ); }else{ link.innerText = link.innerText.replace( '+', '-' ); } }else{ ref.style.display = 'none'; if( link.textContent ){ link.textContent = link.textContent.replace( '-', '+' ); }else{ link.innerText = link.innerText.replace( '-', '+' ); } } }; EXCEL 74 Financial_Report.xlsx IDEA: XBRL DOCUMENT begin 644 Financial_Report.xlsx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end XML 75 report.css IDEA: XBRL DOCUMENT /* Updated 2009-11-04 */ /* v2.2.0.24 */ /* DefRef Styles */ ..report table.authRefData{ background-color: #def; border: 2px solid #2F4497; font-size: 1em; position: absolute; } ..report table.authRefData a { display: block; font-weight: bold; } ..report table.authRefData p { margin-top: 0px; } ..report table.authRefData .hide { background-color: #2F4497; padding: 1px 3px 0px 0px; text-align: right; } ..report table.authRefData .hide a:hover { background-color: #2F4497; } ..report table.authRefData .body { height: 150px; overflow: auto; width: 400px; } ..report table.authRefData table{ font-size: 1em; } /* Report Styles */ ..pl a, .pl a:visited { color: black; text-decoration: none; } /* table */ ..report { background-color: white; border: 2px solid #acf; clear: both; color: black; font: normal 8pt Helvetica, Arial, san-serif; margin-bottom: 2em; } ..report hr { border: 1px solid #acf; } /* Top labels */ ..report th { background-color: #acf; color: black; font-weight: bold; text-align: center; } ..report th.void { background-color: transparent; color: #000000; font: bold 10pt Helvetica, Arial, san-serif; text-align: left; } ..report .pl { text-align: left; vertical-align: top; white-space: normal; width: 200px; white-space: normal; /* word-wrap: break-word; */ } ..report td.pl a.a { cursor: pointer; display: block; width: 200px; overflow: hidden; } ..report td.pl div.a { width: 200px; } ..report td.pl a:hover { background-color: #ffc; } /* Header rows... */ ..report tr.rh { background-color: #acf; color: black; font-weight: bold; } /* Calendars... */ ..report .rc { background-color: #f0f0f0; } /* Even rows... */ ..report .re, .report .reu { background-color: #def; } ..report .reu td { border-bottom: 1px solid black; } /* Odd rows... */ ..report .ro, .report .rou { background-color: white; } ..report .rou td { border-bottom: 1px solid black; } ..report .rou table td, .report .reu table td { border-bottom: 0px solid black; } /* styles for footnote marker */ ..report .fn { white-space: nowrap; } /* styles for numeric types */ ..report .num, .report .nump { text-align: right; white-space: nowrap; } ..report .nump { padding-left: 2em; } ..report .nump { padding: 0px 0.4em 0px 2em; } /* styles for text types */ ..report .text { text-align: left; white-space: normal; } ..report .text .big { margin-bottom: 1em; width: 17em; } ..report .text .more { display: none; } ..report .text .note { font-style: italic; font-weight: bold; } ..report .text .small { width: 10em; } ..report sup { font-style: italic; } ..report .outerFootnotes { font-size: 1em; } XML 77 FilingSummary.xml IDEA: XBRL DOCUMENT 3.7.0.1 html 358 344 1 true 87 0 false 7 false false R1.htm 000100 - Document - Document and Entity Information Sheet http://chmireit.com/role/DocumentAndEntityInformation Document and Entity Information Cover 1 false false R2.htm 010000 - Statement - Consolidated Balance Sheets (Unaudited) Sheet http://chmireit.com/role/ConsolidatedBalanceSheetsUnaudited Consolidated Balance Sheets (Unaudited) Statements 2 false false R3.htm 010100 - Statement - Consolidated Balance Sheets (Unaudited) (Parenthetical) Sheet http://chmireit.com/role/ConsolidatedBalanceSheetsUnauditedParenthetical Consolidated Balance Sheets (Unaudited) (Parenthetical) Statements 3 false false R4.htm 020000 - Statement - Consolidated Statements of Income (Loss) (Unaudited) Sheet http://chmireit.com/role/ConsolidatedStatementsOfIncomeLossUnaudited Consolidated Statements of Income (Loss) (Unaudited) Statements 4 false false R5.htm 030000 - Statement - Consolidated Statements of Comprehensive Income (Loss) (Unaudited) Sheet http://chmireit.com/role/ConsolidatedStatementsOfComprehensiveIncomeLossUnaudited Consolidated Statements of Comprehensive Income (Loss) (Unaudited) Statements 5 false false R6.htm 040000 - Statement - Consolidated Statements of Changes in Stockholders' Equity (Unaudited) Sheet http://chmireit.com/role/ConsolidatedStatementsOfChangesInStockholdersEquityUnaudited Consolidated Statements of Changes in Stockholders' Equity (Unaudited) Statements 6 false false R7.htm 040100 - Statement - Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) Sheet http://chmireit.com/role/ConsolidatedStatementsOfChangesInStockholdersEquityParenthetical Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) Statements 7 false false R8.htm 050000 - Statement - Consolidated Statements of Cash Flows (Unaudited) Sheet http://chmireit.com/role/ConsolidatedStatementsOfCashFlowsUnaudited Consolidated Statements of Cash Flows (Unaudited) Statements 8 false false R9.htm 060100 - Disclosure - Organization and Operations Sheet http://chmireit.com/role/OrganizationAndOperations Organization and Operations Notes 9 false false R10.htm 060200 - Disclosure - Basis of Presentation and Significant Accounting Policies Sheet http://chmireit.com/role/BasisOfPresentationAndSignificantAccountingPolicies Basis of Presentation and Significant Accounting Policies Notes 10 false false R11.htm 060300 - Disclosure - Segment Reporting Sheet http://chmireit.com/role/SegmentReporting Segment Reporting Notes 11 false false R12.htm 060400 - Disclosure - Investments in RMBS Sheet http://chmireit.com/role/InvestmentsInRmbs Investments in RMBS Notes 12 false false R13.htm 060500 - Disclosure - Investments in Servicing Related Assets Sheet http://chmireit.com/role/InvestmentsInServicingRelatedAssets Investments in Servicing Related Assets Notes 13 false false R14.htm 060600 - Disclosure - Equity and Earnings per Share Sheet http://chmireit.com/role/EquityAndEarningsPerShare Equity and Earnings per Share Notes 14 false false R15.htm 060700 - Disclosure - Transactions with Affiliates and Affiliated Entities Sheet http://chmireit.com/role/TransactionsWithAffiliatesAndAffiliatedEntities Transactions with Affiliates and Affiliated Entities Notes 15 false false R16.htm 060800 - Disclosure - Derivative Instruments Sheet http://chmireit.com/role/DerivativeInstruments Derivative Instruments Notes 16 false false R17.htm 060900 - Disclosure - Fair Value Sheet http://chmireit.com/role/FairValue Fair Value Notes 17 false false R18.htm 061000 - Disclosure - Commitments and Contingencies Sheet http://chmireit.com/role/CommitmentsAndContingencies Commitments and Contingencies Notes 18 false false R19.htm 061100 - Disclosure - Repurchase Agreements Sheet http://chmireit.com/role/RepurchaseAgreements Repurchase Agreements Notes 19 false false R20.htm 061200 - Disclosure - Notes Payable Notes http://chmireit.com/role/NotesPayable Notes Payable Notes 20 false false R21.htm 061300 - Disclosure - Receivables and Other Assets Sheet http://chmireit.com/role/ReceivablesAndOtherAssets Receivables and Other Assets Notes 21 false false R22.htm 061400 - Disclosure - Income Taxes Sheet http://chmireit.com/role/IncomeTaxes Income Taxes Notes 22 false false R23.htm 061500 - Disclosure - Subsequent Events Sheet http://chmireit.com/role/SubsequentEvents Subsequent Events Notes 23 false false R24.htm 070200 - Disclosure - Basis of Presentation and Significant Accounting Policies (Policies) Sheet http://chmireit.com/role/BasisOfPresentationAndSignificantAccountingPoliciesPolicies Basis of Presentation and Significant Accounting Policies (Policies) Policies http://chmireit.com/role/BasisOfPresentationAndSignificantAccountingPolicies 24 false false R25.htm 080200 - Disclosure - Basis of Presentation and Significant Accounting Policies (Tables) Sheet http://chmireit.com/role/BasisOfPresentationAndSignificantAccountingPoliciesTables Basis of Presentation and Significant Accounting Policies (Tables) Tables http://chmireit.com/role/BasisOfPresentationAndSignificantAccountingPolicies 25 false false R26.htm 080300 - Disclosure - Segment Reporting (Tables) Sheet http://chmireit.com/role/SegmentReportingTables Segment Reporting (Tables) Tables http://chmireit.com/role/SegmentReporting 26 false false R27.htm 080400 - Disclosure - Investments in RMBS (Tables) Sheet http://chmireit.com/role/InvestmentsInRmbsTables Investments in RMBS (Tables) Tables http://chmireit.com/role/InvestmentsInRmbs 27 false false R28.htm 080500 - Disclosure - Investments in Servicing Related Assets (Tables) Sheet http://chmireit.com/role/InvestmentsInServicingRelatedAssetsTables Investments in Servicing Related Assets (Tables) Tables http://chmireit.com/role/InvestmentsInServicingRelatedAssets 28 false false R29.htm 080600 - Disclosure - Equity and Earnings per Share (Tables) Sheet http://chmireit.com/role/EquityAndEarningsPerShareTables Equity and Earnings per Share (Tables) Tables http://chmireit.com/role/EquityAndEarningsPerShare 29 false false R30.htm 080700 - Disclosure - Transactions with Affiliates and Affiliated Entities (Tables) Sheet http://chmireit.com/role/TransactionsWithAffiliatesAndAffiliatedEntitiesTables Transactions with Affiliates and Affiliated Entities (Tables) Tables http://chmireit.com/role/TransactionsWithAffiliatesAndAffiliatedEntities 30 false false R31.htm 080800 - Disclosure - Derivative Instruments (Tables) Sheet http://chmireit.com/role/DerivativeInstrumentsTables Derivative Instruments (Tables) Tables http://chmireit.com/role/DerivativeInstruments 31 false false R32.htm 080900 - Disclosure - Fair Value (Tables) Sheet http://chmireit.com/role/FairValueTables Fair Value (Tables) Tables http://chmireit.com/role/FairValue 32 false false R33.htm 081100 - Disclosure - Repurchase Agreements (Tables) Sheet http://chmireit.com/role/RepurchaseAgreementsTables Repurchase Agreements (Tables) Tables http://chmireit.com/role/RepurchaseAgreements 33 false false R34.htm 081200 - Disclosure - Notes Payable (Tables) Notes http://chmireit.com/role/NotesPayableTables Notes Payable (Tables) Tables http://chmireit.com/role/NotesPayable 34 false false R35.htm 081300 - Disclosure - Receivables and Other Assets (Tables) Sheet http://chmireit.com/role/ReceivablesAndOtherAssetsTables Receivables and Other Assets (Tables) Tables http://chmireit.com/role/ReceivablesAndOtherAssets 35 false false R36.htm 081400 - Disclosure - Income Taxes (Tables) Sheet http://chmireit.com/role/IncomeTaxesTables Income Taxes (Tables) Tables http://chmireit.com/role/IncomeTaxes 36 false false R37.htm 090100 - Disclosure - Organization and Operations (Details) Sheet http://chmireit.com/role/OrganizationAndOperationsDetails Organization and Operations (Details) Details http://chmireit.com/role/OrganizationAndOperations 37 false false R38.htm 090200 - Disclosure - Basis of Presentation and Significant Accounting Policies (Details) Sheet http://chmireit.com/role/BasisOfPresentationAndSignificantAccountingPoliciesDetails Basis of Presentation and Significant Accounting Policies (Details) Details http://chmireit.com/role/BasisOfPresentationAndSignificantAccountingPoliciesTables 38 false false R39.htm 090300 - Disclosure - Segment Reporting (Details) Sheet http://chmireit.com/role/SegmentReportingDetails Segment Reporting (Details) Details http://chmireit.com/role/SegmentReportingTables 39 false false R40.htm 090400 - Disclosure - Investments in RMBS (Details) Sheet http://chmireit.com/role/InvestmentsInRmbsDetails Investments in RMBS (Details) Details http://chmireit.com/role/InvestmentsInRmbsTables 40 false false R41.htm 090402 - Disclosure - Investments in RMBS, Assets by Maturity (Details) Sheet http://chmireit.com/role/InvestmentsInRmbsAssetsByMaturityDetails Investments in RMBS, Assets by Maturity (Details) Details 41 false false R42.htm 090404 - Disclosure - Investments in RMBS, Unrealized Loss Positions (Details) Sheet http://chmireit.com/role/InvestmentsInRmbsUnrealizedLossPositionsDetails Investments in RMBS, Unrealized Loss Positions (Details) Details 42 false false R43.htm 090500 - Disclosure - Investments in Servicing Related Assets (Details) Sheet http://chmireit.com/role/InvestmentsInServicingRelatedAssetsDetails Investments in Servicing Related Assets (Details) Details http://chmireit.com/role/InvestmentsInServicingRelatedAssetsTables 43 false false R44.htm 090502 - Disclosure - Investments in Servicing Related Assets, Summary (Details) Sheet http://chmireit.com/role/InvestmentsInServicingRelatedAssetsSummaryDetails Investments in Servicing Related Assets, Summary (Details) Details http://chmireit.com/role/InvestmentsInServicingRelatedAssetsTables 44 false false R45.htm 090504 - Disclosure - Investments in Servicing Related Assets, Geographic Concentration (Details) Sheet http://chmireit.com/role/InvestmentsInServicingRelatedAssetsGeographicConcentrationDetails Investments in Servicing Related Assets, Geographic Concentration (Details) Details 45 false false R46.htm 090600 - Disclosure - Equity and Earnings per Share, Equity (Details) Sheet http://chmireit.com/role/EquityAndEarningsPerShareEquityDetails Equity and Earnings per Share, Equity (Details) Details 46 false false R47.htm 090602 - Disclosure - Equity and Earnings per Share, Non-Controlling Interests (Details) Sheet http://chmireit.com/role/EquityAndEarningsPerShareNoncontrollingInterestsDetails Equity and Earnings per Share, Non-Controlling Interests (Details) Details 47 false false R48.htm 090604 - Disclosure - Equity and Earnings per Share, Earnings per Share (Details) Sheet http://chmireit.com/role/EquityAndEarningsPerShareEarningsPerShareDetails Equity and Earnings per Share, Earnings per Share (Details) Details 48 false false R49.htm 090700 - Disclosure - Transactions with Affiliates and Affiliated Entities (Details) Sheet http://chmireit.com/role/TransactionsWithAffiliatesAndAffiliatedEntitiesDetails Transactions with Affiliates and Affiliated Entities (Details) Details http://chmireit.com/role/TransactionsWithAffiliatesAndAffiliatedEntitiesTables 49 false false R50.htm 090800 - Disclosure - Derivative Instruments, Summary of Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) Sheet http://chmireit.com/role/DerivativeInstrumentsSummaryOfOutstandingNotionalAmountsAndInterestRateSwapAgreementsOfDerivativeInstrumentsDetails Derivative Instruments, Summary of Outstanding Notional Amounts and Interest Rate Swap Agreements of Derivative Instruments (Details) Details 50 false false R51.htm 090802 - Disclosure - Derivative Instruments, Summary of Realized Gain (Loss) Related to Derivatives (Details) Sheet http://chmireit.com/role/DerivativeInstrumentsSummaryOfRealizedGainLossRelatedToDerivativesDetails Derivative Instruments, Summary of Realized Gain (Loss) Related to Derivatives (Details) Details 51 false false R52.htm 090804 - Disclosure - Derivative Instruments, Offsetting Assets (Details) Sheet http://chmireit.com/role/DerivativeInstrumentsOffsettingAssetsDetails Derivative Instruments, Offsetting Assets (Details) Details 52 false false R53.htm 090806 - Disclosure - Derivative Instruments, Offsetting Liabilities (Details) Sheet http://chmireit.com/role/DerivativeInstrumentsOffsettingLiabilitiesDetails Derivative Instruments, Offsetting Liabilities (Details) Details 53 false false R54.htm 090900 - Disclosure - Fair Value, Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) Sheet http://chmireit.com/role/FairValueCompanySAssetsAndLiabilitiesMeasuredAtFairValueOnRecurringBasisDetails Fair Value, Company's Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) Details 54 false false R55.htm 090902 - Disclosure - Fair Value, Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) Sheet http://chmireit.com/role/FairValueCompanySLevel3AssetsServicingRelatedAssetsMeasuredAtFairValueOnRecurringBasisDetails Fair Value, Company's Level 3 Assets (Servicing Related Assets) Measured at Fair Value on Recurring Basis (Details) Details 55 false false R56.htm 090904 - Disclosure - Fair Value, Significant Unobservable Inputs Used in Fair Value Measurement (Details) Sheet http://chmireit.com/role/FairValueSignificantUnobservableInputsUsedInFairValueMeasurementDetails Fair Value, Significant Unobservable Inputs Used in Fair Value Measurement (Details) Details 56 false false R57.htm 091000 - Disclosure - Commitments and Contingencies (Details) Sheet http://chmireit.com/role/CommitmentsAndContingenciesDetails Commitments and Contingencies (Details) Details http://chmireit.com/role/CommitmentsAndContingencies 57 false false R58.htm 091100 - Disclosure - Repurchase Agreements (Details) Sheet http://chmireit.com/role/RepurchaseAgreementsDetails Repurchase Agreements (Details) Details http://chmireit.com/role/RepurchaseAgreementsTables 58 false false R59.htm 091200 - Disclosure - Notes Payable (Details) Notes http://chmireit.com/role/NotesPayableDetails Notes Payable (Details) Details http://chmireit.com/role/NotesPayableTables 59 false false R60.htm 091300 - Disclosure - Receivables and Other Assets (Details) Sheet http://chmireit.com/role/ReceivablesAndOtherAssetsDetails Receivables and Other Assets (Details) Details http://chmireit.com/role/ReceivablesAndOtherAssetsTables 60 false false R61.htm 091400 - Disclosure - Income Taxes (Details) Sheet http://chmireit.com/role/IncomeTaxesDetails Income Taxes (Details) Details http://chmireit.com/role/IncomeTaxesTables 61 false false All Reports Book All Reports chmi-20170630.xml chmi-20170630.xsd chmi-20170630_cal.xml chmi-20170630_def.xml chmi-20170630_lab.xml chmi-20170630_pre.xml true true ZIP 79 0001140361-17-030603-xbrl.zip IDEA: XBRL DOCUMENT begin 644 0001140361-17-030603-xbrl.zip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�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�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

GX;IY4Z$'*V3,(>21'CQ'I<4[=_ M[D]M.=?> A??!BMUMB_.'6WV]\88&F'0#WL1HM3%$2^0NV,XW\$_]GMV21R9]NS<(@89Z!5DY=-IUY%YKS7*R)-I(B'1Y T,:$ .. MTD=X7P@>X3H%?C9L>"V 3!+\*='0UBVQ_/9MY#CP>Q#_>=VCY0V^DDVS6W#Z!FTNWV MP_6.6SOA[RC$Z8^O-=2078N($1>G\>,FB)[_+27G](F-T+M*=E]=,Q_ADFOM M%5WS+3+EE=>U(@<9:4P'^_I\$*(+V@F'#U(GVJO<;(?Y'?PCOV\UUJ!MII@A MG=5:Q+^=K7NE &[+KY$DP(LRK-@:DR>V=^IC>>26XG<\MBUQ7\/7].VN;)'& M,G@+7Z_UHBHB/#NP1#&\\M?MR<9!^:Z]9B/%F_;ZOMUBR-6+'$5Q+ #4R4K5 M6QP/&56P5S@.A)5O*CP'J_ ^_C4++SG7JF2+^\<_"YZ$U'HI:K>I/4V7=$D6'_.OT&P_A0GV7UP MS^] Q6W7)/9><032MA^NJA*D?@%4$B72XF-"5ZN\,%GZ MI7-H\.T+'29VA$)G&T"@=#A]]H=[V-4)5I]&(EZC/N'N"/=7%R@-C[H"A;OU MK$+QG+GJ&L53ZDY:I811$+&J:MUX0X?@>?)N%6+6JJHRH*ULE0P6![]*,(JK M%",#3XL;?I^P^6*=B87"$!NQU YST.*Q2JKY N_/G6QJ!E5$87D0R!A3+N!D"$BG^X@@Z_9XA@#\3(_>,#H M-'808B;5T&W&E%R\$"BX5*EEZY(MWAO.3'7QB2:WL489^^Z5\.Z:+S['Y1V MXK@K$M^1FR2_X?U,"NO4EQFT:,1B_2_= 7/#JH7@7FOD@3=2-WU&%'@W&7@F M9@SJR1W8C>S1AXODY"*/S.$TO MHGS'S\5=M;YU$BQ_IZMKOD6H>)OKR74'5D.:EC^065-+V)L$ R<^^%N !H17 M<**!NOP7W1%7MVSMJ\)FS6F^4$-S&)&(II-2[9!,(KMA[?-51,O32Z; M1Q\9S;C9?$AT3#3/&W#F:":O.)I?OV X2ZJ*L?!L7Y681C2J6K2/U@R)C@EH M5OI\IAE)%*!^67B6U%)CX;E?B[G&\SNL*GQ(8$PHO_MA\7..WO,*O<5[J=A$ M?7=/O&A*ZK;D%6L]\1,,8T/\W;00?^?-=./B[CU-PJ<@"Y]Z[S,%6 HG$QU+ M5#*W?#N?*HBBP?G:;RV="*QJ0^\**/' 2\DG'2$5U5J-Y,P2^':++J/2'; $ M"PAG@2]%:7[( /5WT,1AEU=]P*8%=-FLT-A, N '17UQ4]"7!T2I$ E\%!( M81>XO0".ZEEA' LTB:M57JR^/TQ4@:K.H:CRHZ8\BUAW,M%)*4J;7AW9LD%C M2\,K^@DAJB@PDG3;%;L-?2& :-2$T)?\R#+,-\S%:._Y.;],L"9891!*[MBIIK&U=<*+RCKY%#Q+-F":M M]OI;%.1+U6#B.]TP$.AX)!HK )VJ9EI:M?V[1IM;)>Y&LH*:4ID/&&0FHCT( M9=Z)N.SE/C!CE8SCO7I'[7X<(3=Y,0[ P>)Z^_@8),]\7LC-BX?W>".:-N>, MUQNZ#.]")OFG04;OXR0L;GSX72@IWU !'TT "86OCX!$< Y)MVIO]+H6B >E MWGOV&A47F#-1_H&@FU3[:<0?-CV.5L>KQS *>4;BBRP?OFUHE'91#K2NU%]G M;.?D.*C?1I-F1"!AG-*@?F%KN[#Z/X]370&%32!4X<8AI/Y80-% M(HTV2/%+,-_'CT$8:26S;285SL:(SMDI> M],=!1XRBA9H:3:\.H>-02-M!AN)&)J8'!1RPI)HA9TI9+>9Q-\&W^H0BR0X$ M@&7YLR@M+4FB\&TJL2J:Z,.HB*)KO2AGS\R"^G/C%S+ L?%(M*FB:-1DB];W MQ'RYSH(L?\'&.8\DGKP!+%M\D5BB\$7H&[TDTNB+-SH)4)EZ4[)#A M[K%'.RXB]@@;]=FC\.T64VBU"B".!:#F+PM1DMH%!U+35S"]K@EGAR!;M2HC MS1.5WL=29O",4=]>Q24OY@"PH=?S23>-5#8#4 IQ0JF-X%JIX5-+@(,7B# S MS1X L>EUF]\__,A^OM,XRL)HRZ;(%QM:'-2>GM"[.*&[N0!-/WQC4X X6851 MD#R?L2^5?F;#P5JRH6']NS^+F!+25#QS=1JIE3,<14)1 R=]0[]%[;ZO>C%R M%[U2LG)?8.&LNJ.>N_-!R-SRI2>#SH$ITE G0?L*[/"[^2T*R 6&TWY.J CS MKB1P'I(Z#*GCD-N^6LQ(VS6I?'^7$0=0/D0=F;X.;*WURAZ?@9C*[T'@/3JC MML*C3]FLJOH!CN-21 M0*P1M%R\*O^5EWJOR2:)G\*4KV6Q+$Z6Y=OJ*+G=IF%$TY1D'JFS9,1%[)$/ MCX0W[09"RHA\NH.3V8G,L(4-::"!<)IW=N5S%?;BZ1,L A)SFRS0Y3]66T*YVCGM&EB# 33NU8%6#WO5>%KX@>$<# C M.9'-#C-3GL36N3NDW/8GM1+?+$?>[M?SB[_53Q;"X*9E>XO?:1RE\3I<\5.$ MZWN6Y3$3S;6^5[]&P785,K/7GFT%E ^Z_"8F= M@KX'BOJ576_\8C:\H_^G" M=9BOO$G8?9R5KZ+F7V/+NO1$YW&SY:(3%C+#BC;RZK9,Q-4A""1@15_AB_ :SP>YP4:_**UC@TY2"V"$ M$580>/WWC<;XBYV8/1N5PVPZ_^'NCB[S4R0:976.BG80SN/2']DY[+:9E2_A M_$[R@9#<5Y9[N(HLNG6I>^#(W(-Z]5GMP3%Q+4M]_G=B.-HQ1^B6N]L>B_" M'-A:O50O;^UF%4\6STDY:!1ZP#J]<&FJ=7">+EH/B/A'0DV M&X92?F*W)\0UQ)=^G0PRZ*"%,)DCP%*7N@^^24)>/=+'359GU?!Q7!9G=B4" \<0F: MT""E[VGQYUETO%SRD4XO@V=>@_13#WO^JB.XF/>#(FJ("_"Q*/^1 MYMMDMU%*,]:3%HQ4-VT0SY(G#&@AYDU8-&L<5>L+.37 MR:O*\C6K:TAE3$KK0X6@/ L@8] [[4^VK*P.@UN6K[*0IFR&=)$]T*13$,LRC;5#L#BW7@Q;T/6M:V'VC$$ MK3II&8@8@/ 8>-;JDG$O/2"7V\PZH#.NF:7,RSGCFD/.29>[(SM_S>O?Z:?$ ME-_\\ZYLR.L:-M.EX1,O;7K]/T[9W 54,9AYTDXS 9ZUKV9MCT M >9]49LUJX(@M_!0D0S!")IF&*$".O_0.H7-3(!]FY8Q(\RHP?UP2!; ++SV M(\SVQ]]I)8..C[SR*ZF_W]*;^/CN+E^X!DSV)?;2!-VS1Q>53H01YN/BB&8: M(?*Q8!]RH 75Q[YQ6C;X2N8JQD='STY3-0F%<<9 F\-$)8EF#35YTBDA6)L? M*@;!.<(6A'[I_2XAG0:;, O6\J<:#!M*,X"\(3HY9:%&R F:T&:,53I;G#XP M3PR(8?0WW\BI!8F2I9#AT[%5YD--6W7D47'J,)OHPN*!5)Y?ZFE+V##V:]T=)W%R]\?XO6**>Z'?V[#[/DJ7J\_QLG7(%EIY0I0+/EOY&B+?G"6Y.RN7=" ,.94@W @Z]3!*4CM2P M^C"A-!2'AU_1)QIM:?D0W6?:+TPU=CNZ2^VLB2WQ;%QEZL_V5$=2,U;5=L'^ MPKA8'@M?[&2>FG2Z<8T-AZ!+)$F3-F64?ET"!['LTT09C)J\J"LA4QJ05Z7) MZQEA5H<"(6EY9HNA:8NOLF-!1J^_!AN^3?D3?;REB4QBI89=C1488G&EY]I4 M94$GR89^0U3;A=TFR!THV M- GC5?YP8.BEBG6'4(!KP>\NAG5I*()URP<^'M!5K./;$ Q-%>,?>[3"8C;> M&AV##;@/.E8\RZU=FI:9=92M;X8$Z:YC9^O2DD 0G N;^KLJ+1U2 ?)5/[^8 M =T6(BJ(O3I$#+H:RH(,A4M3'\MS&7QL0\ (23E/ ^"";]5,FTKT178/>IHC: .VF=N42=R>3Q#OL)G:K M40WW9'?!#YP+QDMXIUKT"\ON4.^>&!/>FFY[FA[1Y0([Z'8TZ%:TH]O0H]V" M'GS[67/KN7_GQ]>[/O [/J8WG_4W>AS>=![KAO/PF\VM&\V'C1?@K683P.#? M8A[A]O+P6\N:V\H'A!7@G603K$Q[!_F)]8F_#%7WF@>-W2X!2^VL^2#Q[& N MKHZD)H:J[:*^S)_;(E>?3JZGIH1N7&/#(>CR0M*D30VE7Y? 09R=:Z(,1LV\ M"1N?W_R A21I.K:%TK2S]JIC-RS4*4L"]W$2_BM0;+^%-NA)K[P!&I5D(1R* ML28DC%]*)RUY_O(^?@S"R!M6:5$@I!=DG&0TD[45\TT=:13@.1!S73A[U,U? M&NRT\HZ'.W\$__A;V#]41V8@%/3" )5'W*5CP6Z$@%-EUZC!#,(OD"_\DE?< M:(V;E O=7UH%?6XKAWKMR0D4'$EHT[TY#N:'!P20",*0X(?(77R-Z.K7:$63 M]7,8W7\,EK18;C[./@7)[S3[+5AO^W>JAC7O"22T.1IG8 $=BJM1!V"4,W"Y MN$C"^Y#?4[AC5N2)7_"%C(90$E+5?'AE/(9Y$K/RO >TZ24T91LTKBNB.$Q= M^J@P8NO\-,F\LR5M8\\*20A4A'0&CJ2,PHKF8MYJXXV%40=)"! 1!:#S[P@5 MC.-8$/4CGZ1GT7MZFQU'JR+=\=U8Q9E,K/O;I'H]Q"E-LB",;I)@M3M$^GV8 M+M=QNDVH_J:MFS"]K(4=!DU$<#OF,#14=)_W^,X#Y.^JJ$-4)SW60<@K;E'&(66@\FT6KTD= MBWSQ<*_#?JN(MNC:3QGQI+0[>9:4H,4M7GFQ!FS8+[^T#?'D51/*98D$"PU4 M08BSEJS=/BNF:I[=O 42][YY!IP[XJ:1OBH5P3"O3^,H[]TV6'\*,M[EY_>LQ+GA4WC M38G!KOJ$'^ *3P*,@[LL=(9V!J@5P]POKK>/CWR6$=\5RM&9AE3-O9&1X= 4 M"XL51*128^Q5(CX#>SU9(/_*9EN21/)5)^U?+0L0*43!.P3"J;87#+RET^,>EJ9?]* M)9#-*[8XKWT92Z'NE0Y]WTI0=ZP7-]P_:7P\,7@%XQ%K?\@.2FNC%C2[;7$' M%4^Q^GX-1I1KTWX.IDQS0*/IB;I(UM(4%GVU05OO$OC$+\2D,8"8;2\U^0A= MU4*0YB>6(EFT6"/UY08&+O2JZW\ !MKZY]-)F A?I"Y:76?Q\O>' M>+UB*E'L@E#HGLI<(()B(U0\+ZS,.H%$_WR@;X5%7$<9EKM&'!3)7Y\CW M*3L$&V*F D=.2E-%>PE)M1%'@Z6+? ((B8/)=B[A9T*&"2E.-6R>3_&"L*K/ M*>A@G3:?1/3B[C2AJ["?-?J7=KFA>8D3-[#LV&=W6'@5^D3_' M4US>KP&6RA9LA'V1H(_!DFOF\Z?@6_BX?3RIZ'8:;-@5P5.!A.F;(N)? M%\Q!J6L<'$HAD+M%>;463Q)X<.KT(.Q(&&@RIG*"ZKS(" R+/C*$G4@\-# F M?O,2N9D82-5J1BID[QJ2JN7+PC8@^[@$]]1[C6_*K7S=["2XU-A77%]"V!]: M.<._-]MWKML.VC)OU%?>%,^B<8GUOV=_EV=EU=W;V6Z-/+RHFWZ[CDW&MK?! M=[^&5;%[%S*NOHA.^:QM2-,KN@F>\P?3+NXNDS!:AIM@?1;]%PV2&Q:]BR\[ M)P(A,W&"R EX6!>K"S8=@9+-T/&"H>:O_G!Q +8DK!TVTG)ZP_W)A,"T1Y/! MWDG2,.^"&\0+GC2I'K!TM MCP/50]"K?9"/4O2^QM8%>NUB<'G.78Q>I7R-)Y*+;GS<^J1TR^OQ?]\;F>A# MR:JZ: ^M;6GQ-;8K+*K>[(\L?&1,L]6%IH^APE#X&%L9>-1)I:'1 51MV/GE M-<3;/1.'%IYLU*$[O);RP-U9Z4/=GST2"*LY1]_'8($8>;911YU6(-#G&1V_ M7"#F^R80]C,,\?#:"L3PN46W/_LA$)_IM^SF*UT_T4]QE#V(CH6S]C5$,/J^ MQA2.;O3)!$32$30A$?KGTY&_[)&@2'$W5%A4PV\A,%VW@X5&W+_)!.=3\(\X MX:<4L5[*#O/OGSAIV*K\W<&M+.4"& =]+YY97)4.F'A:Y,;YZ5OY+9#\UG;C MN;'&*RM].,G0%#JQU;BV&0]TT.2V4%QWL:MX-G(*1#0,&1ILA"X*-"S7R9<-J+8R+-863&:]W!HV 7AM1&/)[4 M*-J860E^B*FAL^\HUH_OV#">-D=%P3WE$[F/E'[XMJ%1VB6+RF27>40FUN3L M.W603Z1!U*R3-%O45\@=G?J00^70Q?"?NLN(OG4;_#)OCA"!J,SR $/@,&_A M@5TCY<7]AH54*8?A8EK]JU:T+NZ:*UV2XTB@YCM=U)E;,T(= '-Y&!A+S1. MBT5MQ2N4?'LL-ZP?5?/G"!(P'N)A8]8EF+IEFVR0*!/R+G\F[A-]O*7=32+" M:SM&M:Y9TZ?A#9?RD^G!SHHC&) 3]E%\(-LS9>>^VQ!]>H M3 !4C@+W1F,\W_]!EE8"T%&>-/>'D5R#1-X(DU*.:OFSV+ M&)5IFEU\C1BE'\+-)66 BC(V83IYO@P2]M>^0IFVK/4+WM(>^]!8+K3/,+:& M.D;>%A^^+6F:DL[919+2Y"EV1U*HDPZ% MS6*/BV),?3>-BPAAEAL^,_CP=V/'ZS4';M5P1G9-2=V6O_F\:/V2@"U//R,@ MV_O4U09083(DD:G\F*0UL9\QY$$4&77)P;(3UL(A];UH2$1\1^(-38*,R\DF M2++2T1XHAA*"IOJA0\, ,1&Y-)86>;^\T9F;X';=NT>ILI'H0VF#S/W54X/;D=S0 M,W[T!UK!$>&8J&FR:Z*B2L>O2R0YD]9>E,$P4DGL >((J+?F0/))=S5RJU%9 M=$HXU]0!4KI3T#=-Z(?EU90?<':QFR=>^CI/A, ?KIXJK#O12J<2.4092T$4 MO<2.'&=9$MYNLZH2DZCF?@($*(LZA$PJ@N5]CI-@^3M=-9[$>0K"-1^TCW%R M'; _^F^4Z>JEO:=*6FT\V9)M>&Q\P;;NBY+%EMX75Y].KDE^G/?$[$4 7HR. M@(XD#'?:4@_;ODW+#KRL9=\/A]3@NS-*#V]N=OOKFXJPQ[JTJ#'72R MM8D#)!F"AW26FXV[ -$=0Z>+X_O[A-XS.[*--D&X(IO=D=.W 8NV]$1+!F!, M("'#1ETL''!?(KTP[)DU/V_Y]E+^[ V[ ,V4PD:Z[-AIY$H:6F'&RX*BL(-4H.]H M47R4$_KZ*B5K?L531HN1 6&Q=-R Q&VU!Y%5$'$T4+K/4<*0.(C4YZ(:L>3XZ:11\4S6F8R#XL'YGF!9MZ"7#;1_&N%YOJN[?$+ M1+,D78T!9P_3UL211\>PZXRG"XH%9G^%V#7VO\YR@V2R-H<)Y M/]*6V8P/X, XC;F>\2E"CC7CTW3 +\"6X6(J1.K= M(R9.G6?1,GZDYW&JR(YRFSH!BFSLJ=[WZB*-2:-H."MIQ_=!\B&/$Y^XIAC$ MV. W[Q&F;][AA,R?*W1@:KT\PB!HE(I=7"2O^.77O0>QRT,,#P]@O-=W;#HPWVS6X;("^6G\^!A'I'DR@4C0;_")[M]FWDCVQ'_LB_!3/!IH[!NPH'[R8<<3/56%LDY*%Q]D^!MDC< M[;9->;Y%0@6F07ND,#8+#ML2-?+FP(DV!>)N!AR^"?#EH-EZI]]P.'LS\VJ6 M$3=Q^^PRR;&!@]L+%[E [5&7. 1P2GMKX4"1/G9%"OX\AB\#_#U$:C/7!1> M%5.)UV3-*ZQB0L&^ 4=TU#[ SO>S#X?#4;KF8H@0U7(,P)5\J0;GN\X'0E BY)CL&#:E/KU>+GD1X"P3K$2(&)_7>9OE$XOXW6X M?"[^?T._92>L&[_W,NJPYKN$:MK<6B_, CJXUS2H VK!&.!R<47Y&TI(W9*T MFTZM"@-Q%>.,=5<2S#RU%6%(+R: .6)6'!8<&^-Y3OPJ1_B,%(W(E_)/WIKD MS2>_X38-^J49<5SX3YH/XZB:-A2)_")[Z+W*6&U4Y3:)D2VUA6[Q\Y0JC)*I M\H:+_*_EK:")&:8>P=CD]^Z016C?HH3"HS-PX*F[,L0P9!1O[*@NEK.8&C>KE/HZJ5(!@PSIQ.298-&F_ MRKXNRK2F=6FF,+7/P5+G+LHT73!-2E8WS]\G="IZE99L29U\*9I//86"H"$V M'[5>#I>VZF1RC7?'H,,L_[2!;!"G>GG;00)+7AVB(&MB\5[1-+R/^/TYF6;+ M+&JI[EO8DZ7KTX4P2V)HV"%LQ:L/\GYWA00I^86N[@MZI%FR?1)V'P6VX MSO?9B-['KC9LF372>/2#+>YJ$3VSN\42/4_:1[,E%>(,>>>0-T$@D"^&&3)IH,%(IG33) M51N2PM*;I]D,,"%D&V349*R3M16S3QW) Q8VY.&\^_YJ5=KJ&:M25\/81?HZ M%[V3W4D*ZT8R3F-M!])4=N[+.\Z!8Z_+:<(1 N2U<]$;SR$1/&!60?@\Y\JV M7L&,>\P2&Z,Q2^3>#;,4D6#,DCI87&\?'X/DF;\4ID&RPMX72BD'74@IW=#( M*"5J)Z:4/()?E((P"4(@-[QQ3I>A+.FEG:JR\VOR)!I$'2$,>:"%OS>H[\[@ M]-E$VT*[SN BKTACC+/R,"S#J+U(TDRCD2^,TD,"M"YAE'6DC6$K%;[F'_T\ M26(GR4,N9D<=SR[ST; YD:BM*"]Y.!.2C:XB01G-?SI-5(G*OUE/O>#1H+/! MTIZBE6)]3]C*P2*?(([KE3YY2-/E/IDGR9I?:T'"XX4_%6(TJW^:X=0O 0H< MZ-8!I3&G(V^U!TA[BB# LB*IRM*6F'+?Z'L ]+&4+-2T;NVF)Z_XT]"O)R88 M8(1CXZ'H$$G>J$4>G6^W,$+;(0"(8X&A.0/1;@]?^]EA;T0;%5.2;0,XH)IT M&T'5M0_?-C1*Y563SJXKP7T[+.9T/;N37TDD$'&$;1?5IYYP0SJ8(F:H?G<) M+;I-A*00^W6)%GR5E449#)66PE8&_HFK-8!TPCH805Z)JDY,=2**3P=CT=2= M8">+8,2 0B1O>"SBJ52"$&X@C4I NY%"MQ(X2/JDDK>OHP_5->WP>Z%CU_0^ M?_)>N!=?8]75M*X5%KK;?E$7R)0A0#@7M&R O;KJR0YKW8"*L"__]24$:#<0 MTD#D7%7GG\8K*_9)\6) M%;))%:;/BF+0XBZ8K$D2KBCO,JS\3 50$QPX!U)$A M#/V=U.[)%V\.Y-M7 9 M7^R9 DRZ>,+OLI_&CYN$/M H#9]H???O,\TN[FZ" M;]T*R:!)5?6 FMCJ(" (_H(R/*A2LJ!NRFT1RZ:I5YLD3, 1#Q^\#N,!K5LL M!D<;"9-X^=8@( 8@YQ4B6[;MW18S?N@XSXBLS6&C4Y:0','3U\1Q19?K($W# MNW!9Y,;5/[9IQE,@?W7Y\<7IV<$H]BSZ4.9-]G^.G(%SS M9Q\9)5+V=>LO*ZH8QXK9K![=Q\1(#*Y[B7\#:,1>:W/&*/U87-S@W+/8;'KQ1L7Z7JY%(\5+T:F^J M6C=UJYO*U)?:T]?JT^%/V! B:0X/]0#J'(^S,4'?! M32F"T27;C1V (/I]2'_S0-MP,&NX$02.&O-=(FK?IGM((#WU@F:C;H^"=<<] MQTRW5OGSN)7'U+/8H34V]R8O(8IS%$6U0/M*,ZE75S!DH_#E)LVV?&NYW+ N M.1GX<%JZ8"BZA.G_A@+@EP>*=A'<;(L[GKAZWO9K,)@[A?7B['NCT53IF'8X M)U<6@3;^&E4;Z7Z)UZLPNO\Y"",NF!=1/;,Z3L*4GQC)_AG=%PIJN&T4*XQF M(F,?QE'=9=NQT28]2!T=4J:AA%[PPFR[\T3XYM!R9E3M#O5 ;UPR!%"[8:(1 M5M#91H24>3C?RF,!<#X=P^KD5.R'3=WJ2*0,17[.5>*\4HG&,F49D10A21'3 M_WV@^Z8FAO/#?9$3#RJ^-#N.5N698;O#D\15F]*T77E)3''$4^C<506D"@;0 M,7GS4HKBW4%>U(]3ZR!CW6>]=DR$Q!6V$I!/X=TQI+!SJC*0#9X:N2W-\H,/ M2JM9?6S:82%+G1.LH36Y-C=>NR#28\'EI@:W+F.0I.'0C=;V VCYT&U24F#M MSUX879P%%7"9K!L$\N M7+I;+,7VTN,L2\+;;9:_-RV^#!(:#=K@H/=FLKM!Y6V,>Z[R^-/L:]#VQ_J& MJR:"8D>#!RQ' *?IO5080@;<1Y4[-KZ)JNOC]$P:=^N"OB^.:62Z::%^MJ3I MD>.@\/F=>@I(^=_>QX]!&'6X+;Y8_I3=BY;ZT7:'>5*TT+.* MVX(&B^HS\J7X=.)]0Y*1B2&_9YL*;;LFLD4>)L?I\;>P._,67>I@M+B$A%#N MS 4^&WXAZ-R9-[#)/_,$F:W1$."R^RN*4O:)+X'7 MYH>,2$DQ[@:2DQ;591=OXN/E/[=A0C^Q"C4:!9L5 !OTTB.I7)+"9W,3VROF]C59UHY) MD H>D/[.9$,,[AN5?:AC+N[>L\IJ1:.5;$HKL.C4%BT+)'5J^'28[_M1(++1 M;;78_9-L@G#E!V]%PR9@H.1W%E.I82PB1<^7&RR@YQR!_P$P:.8!5HOMKNTS M'#32:H8'S^3N-'Y\C*/KK/_R.YBQ7 1;QO@<:+A'WZ0 "F=(CJZ#AERN^*F^ M"2N ;K<9B>+,3_T4#;Z:.Y(ATK*HT4Y#J%X$YSAS*;N"4'8@ZXCQ1;(*(WY, MTO[J,MR!YD\.#'%RY!V/.!SWOU>'7-'D*EV%T?Q7>/V3II^LKZ$*;O*5N M*4W4TM4DO1_+60Z QQXTUY9X6WSXMJ1I2AZK^7-:V9&@<+":D> QWDZ]*V8( MD"!38/4( ^>X?2>@6:PL]KAHAF4:A-5=>7A$1/-4E,1+2EF]D[_18I.$T3+< M!&M6[3ROXJ]3O_AV7"";KM:@(KF?LAQ#^K.JISD5;9K;B M;:6"2QU1PME6VG#F3)"@>TN[YDV,^K"Y5#0F GQJ-IS-NB>CXKR BW)+DI^40#;I@?>_^E,)^:;0. %%N/ M<'>'/]A)^P$ P]CCHAE/X5W=JX? L:; MLS3=TE4W26D-JYRD,+0EK=0U?L;1A5*R4MUXL;M.4FXP(VEN0L+:/J%\&R45RG?$="_E< MX)(F>8>5XJYK)!1Y>2-4ULG".!9]35@X$96.^DE@$R3D*9\N<_%?Q>MUD*1D MP^9^>2+P*@]H82.E*61056R5M9>S5AUQ-,0ZRA>ZD#AP%>4/9D_BA!0MRH4> MUJ;(*X($*&I[R3#IJ_O&@UU!5XOAGOX.9U,"&)98D\QG6A8'B+@ M#&84PQ'GC\[G*4BI[2T+H9Z7%J@DRGTZUNUF##A?ZE9]??[#VQ_?SNLZ?T;F M;]_.WA;_]=> 9B2*(UJMVO/7 #2%/<@?/OK?6V;Q[NV,L-'\2V[SGB[S.S\S M\FZ>?_QGGVC81HN4>KWA5;&MJ#RE#&OX<@-!1]K=\C\ ?R*-_JV G7]K]J:X M ,DP%!C3RFWYP,9Q_MA1(Q%<1.=Q$*75L0^B57KSICN!-FEJ31MX,%-)5]/) M.*Z:9H;N%L?W]TG^!!'91OSAX\;3.;PG0?3[>WK;?3^"RF1'6I&)-3G[3AW45=(@:L9)FG4>>KMEU\B: M#_G4?%*,80S_S;O\Z%NW>2#SY@@:B/6./, 07/2>AN07";^ZW[B0%CO#@#%M MN5/WZ8IN=N< 7-$T2\)E1E>G0?KP,8Q8=E2>B6SK1Z"IAGX0V644V:DZ#^D) ME*KFOA>G#\PQW[D6D637@BQ9$W\8/0Q^$MH/1H)<&HQ3%#6H M%\[(T4MVKVH7)+Y[36HOA+N9D9TC?\Z-]H9&@!0[#8]\2=9\R8C/6"_N%&>; M0>T%R5=BCR@BP@A.DZDJ(E07Y#X6U26^#KPL#IPJUYFCXN5/\=T=S5]EOHS3 MS".JJ[$AH;1V^.3,%3:5,5019PPP.LE*O3&Q4,S50.T%RT+1#Y*4RDM-D 8D,I:K> M5X>Q90/"6Q#>I%@Z"59/'(<>I0X8@B0$!@^NG,=*%S(^ ^*."6$G*084%0V_ MO90C 7#=ZJ5 &)"+WE]S$#\"_N,-Z(OW?#D-3KXF):(%1Z:Y&)F%T.F=A@]]XJ63G(^3K?&XV2O:K@N2;GW M[]/9(TH#"A1?.>UGB9/O=?F%KE>F)8RLH;9$Z3=TIG7=4".6&)+0P^1*Z&S! MU_W)1E@G[(XH]VQ?"Q!"(/E0#2Y4';H^8.P71QX5Q2-D9%E8/ CK,VK>BO!F MWN=*?# ;YSH\-$^SPOT!P;OA('@W9:E0OF'\XG8=W@?\5,MNR2 UJ$H'@8$MIGLN\4L)60@E MS,6-%HWEJKBX5#PILRGM)T:Q? 1CZ&_> 77/M@5NB2IUVF(-GI#?:+-1S#1[#^7X.HD1)]*,XN6X(W^P@ MN-+4#J0W,S1\H>L'^*4*7>L*?EZ\ 4DT#ET(ZEYLT##JH1#QQ00=?P[T!/YV M@9[Y'@^J2EFTHSJINM!@S6]YGD5/-,WXHRD_L]\^Y9/#WE.7(-M*@=2VMC!6 M>4>?K4&B*8&N;;^H3,@]?_%9L:I(^'LTRO<2DX#99FG^;,?$O "!(!XP5AWJ MJ)JUR*3W[QIM:-- 4"0KJ,T;6*N-2&Y5+'U.?E0@/L)DZHP&L6D5?,U7?"Z# M)'N^28(H#99\NOOAVX9&K'O\?F'CX_0_P^RAV:2G\2C>=EG TILULBI.S@KN[%DTC\I7!CAQ7 M@E'<6#NN]>,#UX_)[ZD-@91>+71C#5(&D1. "LACCXMKQ!K8."XBJ//Z.&]! M"AUN8;QN1+[P9B1O-_5*Q:B8EM;28X#:PSK[/(SH648?^XLE,'-UQFJ8NZ'S M+L (M6XWU@#:MEW(J4J^<$N2F_I)SSX0])P4#A:(A[N6 /)UHDQ(N/JP'),C M!XS;[2@(;F?-16 D,"G_6I RRL^;7:E+1K/8:I*:^%JT3JCR^] !MARL.\HS)OOC-*&K ML'NRL]9.D'TZ=HA$;7G&+?G40: T[+>M69KE.F>'(*NBTN $6&"3 F+AW*W>].^?M>,U[N7,;K<-F_+0MO4DLFH(D]/;1!'-SU ?5, CF9E%;DMHT MO\%Q%C%CFF:DO!DW.<9P E??,LH5Y:HX<4RZ)^\H1-%(XLN *E74ZRH.A7&_7:> MZX'3(@6[HU.*@;PH*J*T/FH\.UU%FN6%?>-"$!+8>*A=B@>> .-B)ZV@J?A-)Z=0LEI M6C5X%E+3^L4 R2 !F")I6O%-PQ5_A")82X^@%6NQ8;N=-(/;6=,+&,F!<)M% M5O//Q->"'^/N#?E,$1);#EZ7F4 7;:(:Q1T3HH@)P3 J&C[S=+&S5QUO_M(@ M+,TNKC$\<>YIO&B235;X'Q_^N0V?V+R&9,5K=._TQ@\[/&PH>DQ3MFR0S1 E!%0AID:0,%L(39O82P_;IZO;>5_ M:9@>)O#D6H^*O&F5/0O"B*X^!$G$MT%*IA JHYV*BXVL625RZT"Q%6'4))(V M7%372'61O'I/[\)EF+WVIFY2CFQL,@Y=DHCLV]20>W0&&D0!5H48AIBY"#*' M Q2IG Y'BD_2>;Q<;A^W^?-P)*+1EE[197P?A?RYY_?A$U_06?471+26.\E76%JS3NK;@:,-=2B1DF.([)SHN@;E1CHR'HS43P5&5O&T^V[!L>&WTE MS+XO2B);>E_4S?A)'^4+;%G+ZC@"\JIL/'5Q@0#,&!TA'0$9[K0E,K9]FY8] M:$N "/UP2!U64U4>.'/@/")?<%MR:=6N^Z_I[>T22A*];A MX_RE3L?1ZCP,;L-UOF<8F. '>>DE=T,O:-)D%-=A4A_2#Y@JF7M>7&\?'X/D M.=>C+6L;9?ENS4O-%F["F(XT>FSM?D3X*4KGBYP4J+_#WB M^;+]Q29_3<7Q,@N?PNP9F+1M'?;R]W"':,(TM L.L[IEEV"*915D<1;=Q9OD4)(B>_RTE#)?OR"7K@B_R9 U;H5)A $>F64-]B^7+KJ=>,,U! M-6#;'?9_0IF:/-W5-0QX\L_3$(D]^"]9:*%BX^T8 ?\;>Z MB*[XF1\)^W[\:T'7\!%]]S(ZBF\T[4+HC2Z2WMQ!P*2$4!N1D2@33(0P8AE%Z[]OW'90K2#V;%1B=RJ; MFK@S+<_[S/:XY-D7LFO+(]_9[DMX]QPK=BUN>D\4?1HB7[6ODB M#K!ZLG/7*YB&ND/3T6$=<%@6674()I@6(9K;)?+C.,^B)YIF'KSX 0VB0DVS MAXE,Q89Y%@N732\]8)2#8L2N,Z[IU"DY=H[>W,7)F_RM"8U30]O./"XP_.*? MMHSP@X!^% O5B_6N@HS^_^R]:W/C-I29"X+)"4["])VP+6@H7G67AP6_A MXN")M?9)^W2D4>V6%-"L#1:GM/QY'.A-_.L%(GV+U6&\[U!$\= B-XENO^/] M;!YZLH5=9W@QQH(JF&@9ZHX=!FT8GP,>AF8CW\ $: R\=9A7:LYXE!T3]8-C MZ!BPG\<(>873;$1?/7RAT>,=B7?\=6/-(=*L>FN,U*T.%B#T'()F8+'SK1<@ M#$PN5H=Z0'0[X[AHJS]*CSH M6>J.#R:MF$%\^/CP0/@1*%+.;)MC.9Y M"COSB\;DGI^;3!GP&5R?T2>RX6\>2W'".%+X$+^92\1Q0&OW<0HGU"B/5!A; M59RKL&S=Q*3R<3C)NB$^&=4\IE10IG++6/#I:%;5YL&OX3-+DQ)L'G,$]2J@ M:+'%WEJMGL$F6E9OA+5]X6F2;;&J9]<%^]*6P<*\C!FS"12Z*#)<9V]UL/EZ MNHRMA@OG%;]CPGC4O:B:5S ,&^TNO3 0.^P*N:%X[B/4ER BERG9-=.Q6]4U M&*DJ=4>@>>%MDA&KZ=V5\75[)J3G-9&H>@3,;\/+D/V=O6X> HSID&@X7]L MG(\ZI+4\@X+<;&A[P2AW&.=@8#Z/\:[<6+J,DC0^B/WKX158O6H=^9WZJP&F MI^ESY#6#DX9CW1PT@Z:JIQ6JNS)?*5\%P"%:[N@ARR)7FD,5>W.AO2:@%#EF M=#M;G5.FSX(JBKRY\2E-5,T/<@W39V->82.^R@V9TSQ18GRCPI M)@85R5',VS0=;WRD)K)I@R?2-),0R2*H,% ]]7J&[I^+$O,=>:=DSW":H0GH M,X]1^X:(]S6O<9P^W\4X2O!:)$)Z]US[I'?CS\)&:\0VL@$6=PR\^CDD:-X MO8AC:K<6;K(B2)1!U>HBUM0_GMG.BPT6.X.,)314$<; 7'=\,6[/#()+=[ZU M9D[;J-V2T?.DFK;,)8^C MF2^M;(ZH:E/HJ4K!S"X2AN<6[Z"H8)#:T0J%9@D>M5V8Y'DT;/>C,)T@98]!^!4=;0N@:8RQG5NE MGW$0?:%)BHVH:Q*+/XMULN6!&GO[>B=O;.S[/=)@WJ*QS_)8 MM]#AG(2ESUI*,H+#X'_81(7;0C]S:[\4RZV,I)4$ W.)?-"4T#]YX89"HQ,: MYJX,CG+8_AUSY/A8YYOL6S *K0:HR R4.; MN.EQ2\/-MVA#XC(IX!UE\UV&O"U.R.>8A>RNN&=1_M -2DZ%6W=O!7FT[+6H;MF!T3,,."\:N M80&=#RCR9B"OA0Z\6B6M*>^@LB:;9/"Z+P_K?4/52& _BD'.=GRS'=K&BP"F M ]H3B>^IQ@S!P#<(^?,,:\<[A#DQ&F#@LJ+QN,/5-",5Z"!E-3Z]% 2[#D?6 M$)YV$*KO('X(DG5(^?-#RJTV_1K%P*-1PYG%@SX\+$;I^NPGKYZ516OG?6IB MZN. 6G=4DXN#E>LLU/0U#O@ !P]M?P#(.^^ 'BK+HK_FLR'B%9+*\<$')F

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