XML 66 R38.htm IDEA: XBRL DOCUMENT v3.6.0.2
Fair Value of Financial Instruments Significant Unobservable Inputs Level 3 (Details) - Fair Value, Measurements, Recurring - Level 3
12 Months Ended
Dec. 31, 2016
CMBS  
Fair Value Inputs, Quantitative Information [Abstract]  
Fair Value Inputs, Prepayment Rate 0.00% [1]
Fair Value Inputs, Probability of Default 0.00% [1]
Fair Value Inputs, Loss Severity 0.00% [1]
Fair Value Inputs, Discount Rate 9.80%
RMBS  
Fair Value Inputs, Quantitative Information [Abstract]  
Fair Value Inputs, Prepayment Rate 10.00%
Fair Value Inputs, Probability of Default 1.00%
Fair Value Inputs, Loss Severity 20.00%
Fair Value Inputs, Discount Rate 6.30%
[1] As of December 31, 2016, there are too few loans collateralizing our non-Agency CMBS to reasonably apply average prepayment speed, average default rate, or average severity. The loans were individually evaluated for prepayment and default in projecting the cash flows. Based on that review, the loans are expected to pay as scheduled.