Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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:



	September 30, 2015
	Fair Value		Level 1 - Unadjusted Quoted Prices in Active Markets		Level 2 - Observable Inputs		Level 3 - Unobservable Inputs
Assets:
Mortgage-backed securities	$	3,737,729	$	—	$	3,715,096	$	22,633
Derivative assets	10,057		—		10,057		—
Total assets carried at fair value	$	3,747,786	$	—	$	3,725,153	$	22,633
Liabilities:
Derivative liabilities	$	63,708	$	33,076	$	30,632	$	—
Total liabilities carried at fair value	$	63,708	$	33,076	$	30,632	$	—



	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 September 30, 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	%	10.9	%
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 activity of the instruments measured at fair value on a recurring basis using Level 3 inputs is presented in the following table for 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	1,770			(8		)	1,762
Principal payments	(23,201		)	(174		)	(23,375		)
Accretion	289			—			289
Balance as of September 30, 2015	$	20,891		$	1,742		$	22,633

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:



	September 30, 2015				December 31, 2014
	Recorded Basis		Fair Value		Recorded Basis		Fair Value
Assets:
Mortgage-backed securities	$	3,737,729	$	3,737,729	$	3,516,239	$	3,516,239
Mortgage loans held for investment, net⁽¹⁾	27,439		24,064		39,700		35,024
Derivative assets	10,057		10,057		5,727		5,727
Liabilities:
Repurchase agreements ⁽²⁾	$	3,055,069	$	3,055,069	$	3,013,110	$	3,013,110
FHLB advances ⁽²⁾	255,000		255,000		—		—
Non-recourse collateralized financing ⁽¹⁾	8,581		8,240		10,786		10,366
Derivative liabilities	63,708		63,708		35,898		35,898