XML 28 R92.htm IDEA: XBRL DOCUMENT v3.20.1
Fair Value of Financial Instruments (Fair Value Methodology) (Details)
$ in Thousands
 3 Months Ended 12 Months Ended
Mar. 31, 2020
USD ($)
Mar. 31, 2019
USD ($)
Dec. 31, 2019
USD ($)
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Residential whole loans, at fair value $ 1,243,542   $ 1,381,113
Purchases excluded from level 2 fair value 250   470
Discounted cash flow      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Residential whole loans, at fair value 745,726   829,842
Liquidation model      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Residential whole loans, at fair value 497,816   551,271
Simple average amount $ 368   $ 365
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Annual change in home prices (0.50%) 2.40%  
Liquidation timeline (in years) 1 month 6 days 1 month 6 days  
Current value of underlying properties $ 5 $ 10  
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Annual change in home prices 6.90% 8.00%  
Liquidation timeline (in years) 4 years 9 months 18 days 4 years 6 months  
Current value of underlying properties $ 4,500 $ 4,500  
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.051   0.038
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.097   0.080
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.056   0.042
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.062   0.065
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.500   0.500
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.086   0.080
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.001   0.007
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.199   0.180
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.052   0.045
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Annual change in home prices 2.50%   3.70%
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.000   0.000
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.235   0.230
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.039   0.040
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Liquidation timeline (in years) 1 year 10 months 24 days   1 year 9 months 18 days
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.000   0.000
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 1.000   1.000
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Measurement input 0.130   0.129
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average      
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]      
Current value of underlying properties $ 709   $ 684