XML 96 R85.htm IDEA: XBRL DOCUMENT v3.4.0.3
Fair Value - Significant unobservable inputs (Details) - USD ($)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2016
Dec. 31, 2015
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Carrying Value $ 94,436,306 $ 85,698,354
Carrying Value 90,345,443 $ 81,527,411
Fair value measurements on recurring basis | Level III | VIE liabilities | Minimum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Duration   0 years
Fair value measurements on recurring basis | Level III | VIE liabilities | Maximum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Duration   17 years 6 months
Fair value measurements on recurring basis | Level III | VIE liabilities | Discounted cash flow    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Carrying Value $ 3,038,534  
Fair value measurements on recurring basis | Level III | VIE liabilities | Discounted cash flow | Minimum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Yield (as a percent) 0.00% 0.00%
Duration 0 years  
Fair value measurements on recurring basis | Level III | VIE liabilities | Discounted cash flow | Maximum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Yield (as a percent) 880.50% 920.20%
Duration 15 years 1 month 6 days  
Fair value measurements on recurring basis | Level III | Loans held-for-sale | Discounted cash flow    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Carrying Value $ 154,225  
Fair value measurements on recurring basis | Level III | Loans held-for-sale | Discounted cash flow | Minimum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Yield (as a percent) 4.70% 4.80%
Duration 5 years 5 years
Fair value measurements on recurring basis | Level III | Loans held-for-sale | Discounted cash flow | Maximum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Yield (as a percent) 5.70% 5.30%
Duration 10 years 10 years
Fair value measurements on recurring basis | Level III | RMBS | Minimum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Constant default rate (as a percent)   1.00%
Fair value measurements on recurring basis | Level III | RMBS | Discounted cash flow    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Carrying Value $ 210,898  
Portfolio percentage 71.00% 76.00%
Fair value measurements on recurring basis | Level III | RMBS | Discounted cash flow | Minimum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Constant prepayment rate (as a percent) 2.70% 2.60%
Constant default rate (as a percent) 1.00%  
Loss severity (as a percent) 7.00% 10.00%
Delinquency rate (as a percent) 2.00% 2.00%
Servicer advances (as a percent) 29.00% 30.00%
Annual coupon deterioration (as a percent) 0.00% 0.00%
Putback amount per projected total collateral loss (as a percent) 0.00% 0.00%
Loss severity for specified percentage of portfolio (as a percent) 45.00% 45.00%
Fair value measurements on recurring basis | Level III | RMBS | Discounted cash flow | Maximum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Constant prepayment rate (as a percent) 15.60% 17.80%
Constant default rate (as a percent) 8.70% 8.90%
Loss severity (as a percent) 80.00% 79.00%
Delinquency rate (as a percent) 29.00% 29.00%
Servicer advances (as a percent) 93.00% 94.00%
Annual coupon deterioration (as a percent) 0.40% 0.50%
Putback amount per projected total collateral loss (as a percent) 11.00% 11.00%
Loss severity for specified percentage of portfolio (as a percent) 80.00% 80.00%
Fair value measurements on recurring basis | Level III | CMBS | Discounted cash flow    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Carrying Value $ 96,724  
Fair value measurements on recurring basis | Level III | CMBS | Discounted cash flow | Minimum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Yield (as a percent) 0.00% 0.00%
Duration 0 years 0 years
Fair value measurements on recurring basis | Level III | CMBS | Discounted cash flow | Maximum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Yield (as a percent) 278.00% 435.80%
Duration 9 years 9 months 18 days 18 years 6 months
Fair value measurements on recurring basis | Level III | Domestic servicing rights | Discounted cash flow    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Carrying Value $ 95,492  
Yield (as a percent) 8.25% 8.25%
Discount rate (as a percent) 15.00% 15.00%
Fair value measurements on recurring basis | Level III | Domestic servicing rights | Discounted cash flow | Minimum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Control migration (as a percent) 0.00% 0.00%
Fair value measurements on recurring basis | Level III | Domestic servicing rights | Discounted cash flow | Maximum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Control migration (as a percent) 80.00% 80.00%
Fair value measurements on recurring basis | Level III | VIE Assets | Discounted cash flow    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Carrying Value $ 85,115,662  
Fair value measurements on recurring basis | Level III | VIE Assets | Discounted cash flow | Minimum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Yield (as a percent) 0.00% 0.00%
Duration 0 years 0 years
Fair value measurements on recurring basis | Level III | VIE Assets | Discounted cash flow | Maximum    
Quantitative information for Level 3 Fair Value Measurements for assets and liabilities measured at fair value on recurring basis    
Yield (as a percent) 880.50% 920.20%
Duration 15 years 1 month 6 days 17 years 6 months