Rendering
| Component: (Network and Table) |
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| Network | 030070 - Disclosure - Fair Value (Tables) (http://www.biminicapital.com/role/DisclosureFairValueTables) |
| Table | (Implied) |
Slicers (applies to each fact value in each table cell)
| Reporting Entity [Axis] | 0001275477 (http://www.sec.gov/CIK) |
| Fair Value Disclosures [Abstract] | Period [Axis] |
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2016-01-01 - 2016-12-31 |
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Fair Value Disclosures [Abstract] | |
Assets Measured at Fair Value on Recurring Basis | | (in thousands) | | | | | | | | | | | | | Quoted Prices | | | | | | | | | in Active | | Significant | | | | | | | Markets for | | Other | | Significant | | | | | Identical | | Observable | | Unobservable | | | Fair Value | | Assets | | Inputs | | Inputs | | | Measurements | | (Level 1) | | (Level 2) | | (Level 3) | | December 31, 2016 | | | | | | | | | | Mortgage-backed securities | $ | 130,302 | $ | - | $ | 130,302 | $ | - | | Margin on derivative agreements | | 766 | | 766 | | - | | - | | Orchid Island Capital, Inc. common stock | | 15,108 | | 15,108 | | - | | - | | Retained interests | | 1,114 | | - | | - | | 1,114 | | December 31, 2015 | | | | | | | | | | Mortgage-backed securities | $ | 83,988 | $ | - | $ | 83,988 | $ | - | | Margin on derivative agreements | | 402 | | 402 | | - | | - | | Orchid Island Capital, Inc. common stock | | 13,853 | | 13,853 | | - | | - | | Retained interests | | 1,124 | | - | | - | | 1,124 |
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Changes is Level 3 Assets Measured at Fair Value on a Recurring Basis | | (in thousands) | | | | | | | Retained Interests | | | 2016 | | 2015 | | Balances, January 1 | $ | 1,124 | $ | 1,900 | | Gain included in earnings | | 2,425 | | 2,962 | | Collections | | (2,435) | | (3,738) | | Balances, December 31 | $ | 1,114 | $ | 1,124 |
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Quantitative Information About Level 3 Fair Value Measurements | | Retained interest fair value ($ in thousands) | | | $ | 1,114 | | | CPR Range | | | | Prepayment Assumption | | (Weighted Average) | | | | Constant Prepayment Rate | | 10% (10%) | | | | | Severity Range | | | | Default Assumptions | Probability of Default | (Weighted Average) | | Range Of Loss Timing | | Real Estate Owned | 100% | 30.5% | | Next 10 Months | | Loans in Foreclosure | 100% | 30.5% | | Month 4 - 13 | | Loans 90 Day Delinquent | 100% | 45% | | Month 11-28 | | Loans 60 Day Delinquent | 85% | 45% | | Month 11-28 | | Loans 30 Day Delinquent | 75% | 45% | | Month 11-28 | | Current Loans | 2.6% | 45% | | Month 29 and Beyond | | | Remaining Life Range | | Discount Rate Range | | Cash Flow Recognition | Valuation Technique | (Weighted Average) | | (Weighted Average) | | Nominal Cash Flows | Discounted Cash Flow | 12.3 - 14.5 (12.7) | | 27.50% (27.50%) | | Discounted Cash Flows | Discounted Cash Flow | 0.7 - 2.3 (1.3) | | 27.50% (27.50%) |
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