Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2013

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, segregated by the hierarchy level of the fair value estimate, that are measured at fair value on a recurring basis as of the periods indicated:



	June 30, 2013
	Fair Value		Level 1		Level 2		Level 3
Assets:
Mortgage backed securities	$	4,559,323	$	—	$	4,446,551	$	112,772
Derivative assets	14,860		—		14,860		—
Other investments	25		—		—		25
Total assets carried at fair value	$	4,574,208	$	—	$	4,461,411	$	112,797
Liabilities:
Derivative liabilities	$	21,192	$	—	$	21,192	$	—
Total liabilities carried at fair value	$	21,192	$	—	$	21,192	$	—



	December 31, 2012
	Fair Value		Level 1		Level 2		Level 3
Assets:
Mortgage backed securities	$	4,103,981	$	—	$	3,998,761	$	105,220
Other investments	25		—		—		25
Total assets carried at fair value	$	4,104,006	$	—	$	3,998,761	$	105,245
Liabilities:
Derivative liabilities	$	42,537	$	—	$	42,537	$	—
Total liabilities carried at fair value	$	42,537	$	—	$	42,537	$	—

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 CMBS and RMBS as of June 30, 2013:



	Quantitative Information about Level 3 Fair Value Measurements⁽¹⁾
	Prepayment Speed		Default Rate		Severity		Discount Rate
Non-Agency CMBS	20 CPY		2.5	%	35.0	%	6.1	%
Non-Agency RMBS	10	CPR	1.0	%	19.9	%	6.5	%


(1)	Data presented are weighted averages.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

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 during the six months ended June 30, 2013:



	Six Months Ended June 30, 2013
	Level 3 Fair Values
	Non-Agency CMBS			Non-Agency RMBS			Other		Total assets
Balance as of beginning of the period	$	100,102		$	5,118		$	25	$	105,245
Purchases	26,021			—			—		26,021
Unrealized (loss) gain included in OCI	(4,089		)	(68		)	—		(4,157		)
Principal payments	(12,440		)	(1,914		)	—		(14,354		)
Amortization	20			22			—		42
Balance as of end of period	$	109,614		$	3,158		$	25	$	112,797

Recorded basis and fair value [Table Text Block]

The following table presents a summary of the recorded basis and estimated fair values of the Company’s financial instruments as of the periods indicated:



	June 30, 2013				December 31, 2012
	Recorded Basis		Fair Value		Recorded Basis		Fair Value
Assets:
Mortgage backed securities	$	4,559,323	$	4,559,323	$	4,103,981	$	4,103,981
Securitized mortgage loans, net	62,083		52,313		70,823		61,916
Other investments	5,782		5,782		858		810
Derivative assets	14,860		14,860		—		—
Liabilities:
Repurchase agreements	$	4,071,392	$	4,071,843	$	3,564,128	$	3,564,787
Non-recourse collateralized financing	24,634		24,539		30,504		30,756
Derivative liabilities	21,192		21,192		42,537		42,537

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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