Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2015

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 presented on its consolidated balance sheets, segregated by the hierarchy level of the fair value estimate, that are measured at fair value on a recurring basis as of the dates indicated:



	March 31, 2015
	Fair Value		Level 1 - Unadjusted Quoted Prices in Active Markets		Level 2 - Observable Inputs		Level 3 - Unobservable Inputs
Assets:
Mortgage-backed securities	$	3,879,723	$	—	$	3,837,934	$	41,789
Derivative assets	8,079		—		8,079		—
Total assets carried at fair value	$	3,887,802	$	—	$	3,846,013	$	41,789
Liabilities:
Derivative liabilities	$	57,168	$	49,384	$	7,784	$	—
Total liabilities carried at fair value	$	57,168	$	49,384	$	7,784	$	—



	December 31, 2014
	Fair Value		Level 1 - Unadjusted Quoted Prices in Active Markets		Level 2 - Observable Inputs		Level 3 - Unobservable Inputs
Assets:
Mortgage-backed securities	$	3,516,239	$	—	$	3,472,282	$	43,957
Derivative assets	5,727		—		5,727		—
Total assets carried at fair value	$	3,521,966	$	—	$	3,478,009	$	43,957
Liabilities:
Derivative liabilities	$	35,898	$	32,896	$	3,002	$	—
Total liabilities carried at fair value	$	35,898	$	32,896	$	3,002	$	—

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 March 31, 2015:



	Quantitative Information about Level 3 Fair Value Measurements ⁽¹⁾
	Prepayment Speed	Default Rate		Severity		Discount Rate
Non-Agency CMBS	20 CPY	2.0	%	35.0	%	10.1	%
Non-Agency RMBS	10 CPR	1.0	%	20.0	%	6.5	%


(1)	Data presented are weighted averages.

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

The following table presents the activity of the instruments fair valued at Level 3 on a recurring basis during the period indicated:



	Level 3 Fair Value
	Non-Agency CMBS			Non-Agency RMBS			Total assets
Balance as of December 31, 2014	$	42,033		$	1,924		$	43,957
Unrealized gain (loss) included in OCI	96			(7		)	89
Principal payments	(2,299		)	(48		)	(2,347		)
Accretion	90			—			90
Balance as of March 31, 2015	$	39,920		$	1,869		$	41,789

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 dates indicated:



	March 31, 2015				December 31, 2014
	Recorded Basis		Fair Value		Recorded Basis		Fair Value
Assets:
Mortgage-backed securities	$	3,879,723	$	3,879,723	$	3,516,239	$	3,516,239
Mortgage loans held for investment, net⁽¹⁾	32,775		28,210		39,700		35,024
Derivative assets	8,079		8,079		5,727		5,727
Liabilities:
Repurchase agreements	$	3,185,843	$	3,185,843	$	3,013,110	$	3,013,110
Non-recourse collateralized financing ⁽¹⁾	10,196		9,796		10,786		10,366
Derivative liabilities	57,168		57,168		35,898		35,898

- 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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