Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

The following table presents the fair value of the Company’s assets and liabilities measured at fair value on a recurring basis as of June 30, 2012, segregated by the hierarchy level of the fair value estimate:

			Fair Value Measurements
	Fair Value		Level 1		Level 2		Level 3
Assets:
Agency MBS	$	2,979,039	$	—	$	2,979,039	$	—
Non-Agency MBS:
CMBS (including CMBS IO)	540,858		—		436,343		104,515
RMBS	18,108		—		5,451		12,657
Other investments	25		—		—		25
Total assets carried at fair value	$	3,538,030	$	—	$	3,420,833	$	117,197
Liabilities:
Derivative liabilities	$	39,267	$	—	$	39,267	$	—
Total liabilities carried at fair value	$	39,267	$	—	$	39,267	$	—

Fair Value Inputs, Assets, Quantitative Information [Table Text Block]

The table below presents information about the significant unobservable inputs used in the fair value measurement for the Company's Level 3 non-Agency RMBS and CMBS during the three and six months ended June 30, 2012:

	Quantitative Information about Level 3 Fair Value Measurements(1)
	Prepayment Speed		Default Rate		Severity		Discount Rate
Non-Agency CMBS	19 CPY		2.4	%	33.5	%	4.6	%
Non-Agency RMBS	5	CPR	0.5	%	9.8	%	5.8	%

(1) Data presented are weighted averages.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following tables present the activity of the instruments fair valued at Level 3 for the three and six months ended June 30, 2012:

	For the Three Months Ended June 30, 2012
	Level 3 Fair Values
	Non-Agency CMBS			Non-Agency RMBS			Other		Total assets
Balance as of March 31, 2012	$	115,830		$	8,627		$	25	$	124,482
Purchases	—			7,500			—		7,500
Transfers out to Level 2	(4,670		)	—			—		(4,670		)
Total unrealized losses:
Included in other comprehensive income	(1,487		)	48			—		(1,439		)
Principal payments	(5,004		)	(3,534		)	—		(8,538		)
Amortization	(154		)	16			—		(138		)
Balance as of June 30, 2012	$	104,515		$	12,657		$	25	$	117,197

	For the Six Months Ended June 30, 2012
	Level 3 Fair Values
	Non-Agency CMBS			Non-Agency RMBS			Other		Total assets
Balance as of December 31, 2011	$	123,703		$	10,296		$	25	$	134,024
Purchases	—			7,500			—		7,500
Transfers out to Level 2	(4,670		)	—			—		(4,670		)
Total unrealized losses:
Included in other comprehensive income	(2,024		)	78			—		(1,946		)
Principal payments	(12,215		)	(5,241		)	—		(17,456		)
Amortization	(279		)	24			—		(255		)
Balance as of June 30, 2012	$	104,515		$	12,657		$	25	$	117,197

Fair Value, by Balance Sheet Grouping [Table Text Block]

The following table presents the recorded basis and estimated fair values of the Company’s financial instruments as of June 30, 2012 and December 31, 2011:

	June 30, 2012				December 31, 2011
	Recorded Basis		Fair Value		Recorded Basis		Fair Value
Assets:
Agency MBS	$	2,979,039	$	2,979,039	$	1,965,159	$	1,965,159
Non-Agency CMBS	540,858		540,858		405,826		405,826
Non-Agency RMBS	18,108		18,108		15,270		15,270
Securitized mortgage loans, net	89,225		81,932		113,703		101,116
Other investments	933		990		1,018		892
Liabilities:
Repurchase agreements	$	3,111,924	$	3,111,924	$	2,093,793	$	2,093,793
Non-recourse collateralized financing	31,561		30,689		70,895		69,752
Derivative liabilities	39,267		39,267		27,997		27,997

Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block]

The following table presents certain information for those Agency MBS and non-Agency MBS that were in an unrealized loss position as of June 30, 2012 and December 31, 2011:

	June 30, 2012						December 31, 2011
($ in thousands)	Fair Value		Unrealized Loss			# of Securities	Fair Value		Unrealized Loss			# of Securities
Unrealized loss position for:
Less than one year:
Agency MBS	$	271,727	$	(1,655	)	33	$	680,101	$	(6,765	)	54
Non-Agency MBS	20,369		(1,338		)	7	153,974		(5,075		)	6
One year or more:
Agency MBS	379,030		(5,580		)	37	160,544		(1,684		)	27
Non-Agency MBS	8,198		(801		)	8	2,993		(379		)	7
	$	679,324	$	(9,374	)	85	$	997,612	$	(13,903	)	94