XML 94 R79.htm IDEA: XBRL DOCUMENT v3.3.1.900
Fair Value of Financial Instruments - Fair Value Methodology for Level 3 (Details) - USD ($)
$ in Thousands
12 Months Ended
Dec. 31, 2015
Dec. 31, 2014
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Residential whole loans, at fair value $ 505,723 [1] $ 143,472
Unobservable Input    
Loans which management considers the purchase price continues to reflect the fair value 117,600  
Discounted cash flow    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Residential whole loans, at fair value 113,166 [1] 36,101
Liquidation model    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Residential whole loans, at fair value $ 392,557 [1] $ 107,371
Residential whole loans | Level 3 | Discounted cash flow | Minimum    
Unobservable Input    
Discount rate 6.00% 6.00%
Prepayment rate 0.25% 0.25%
Default rate 0.00% 0.00%
Loss severity 10.00% 10.00%
Residential whole loans | Level 3 | Discounted cash flow | Maximum    
Unobservable Input    
Discount rate 8.70% 8.00%
Prepayment rate 11.10% 8.20%
Default rate 9.10% 20.30%
Loss severity 79.40% 61.69%
Residential whole loans | Level 3 | Discounted cash flow | Weighted Average    
Unobservable Input    
Discount rate 7.00% 7.52%
Prepayment rate 6.59% 4.79%
Default rate 3.10% 7.01%
Loss severity 17.03% 18.88%
Residential whole loans | Level 3 | Liquidation model | Minimum    
Unobservable Input    
Discount rate 6.75% 7.00%
Annual change in home prices (5.51%) (4.73%)
Liquidation timeline 8 months 1 day 9 months 29 days
Current value of underlying properties $ 14 $ 29
Residential whole loans | Level 3 | Liquidation model | Maximum    
Unobservable Input    
Discount rate 10.02% 7.00%
Annual change in home prices 6.08% 3.56%
Liquidation timeline 4 years 5 months 1 day 4 years 5 months 1 day
Current value of underlying properties $ 3,500 $ 4,000
Residential whole loans | Level 3 | Liquidation model | Weighted Average    
Unobservable Input    
Discount rate 6.85% 7.00%
Annual change in home prices 1.28% 0.26%
Liquidation timeline 1 year 6 months 22 days 1 year 11 months 9 days
Current value of underlying properties $ 626 $ 397
[1] Excludes approximately $117.6 million of loans for which management considers the purchase price continues to reflect the fair value of such loans at December 31, 2015.