Valuation

The following is a description of the valuation methodologies used for the Company's financial instruments.

Level 1 valuation methodologies include the observation of quoted prices (unadjusted) for identical assets or liabilities in active markets, often received from widely recognized data providers.

Level 2 valuation methodologies include the observation of (i) quoted prices for similar assets or liabilities in active markets, (ii) inputs other than quoted prices that are observable for the asset or liability (for example, interest rates and yield curves) in active markets and (iii) quoted prices for identical or similar assets or liabilities in markets that are not active.

Level 3 valuation methodologies include (i) the solicitation of valuations from third parties (typically, broker-dealers), (ii)the use of proprietary models that require the use of a significant amount of judgment and the application of various assumptions including, but not limited to, prepayment assumptions and default rate assumptions, and (iii) the assessment of observable or reported recent trading activity. The Company utilizes such information to assign a good faith fair value (the estimated price that would be received to sell an asset or paid to transfer a liability in an orderly transaction at the valuation date) to each such financial instrument.

The Company seeks to obtain at least one third-party indicative valuation for each instrument, and often obtains multiple indicative valuations when available. Third-party valuation providers often utilize proprietary models that are highly subjective and also require the use of a significant amount of judgment and the application of various assumptions including, but not limited to, prepayment assumptions and default rate assumptions. The Company has been able to obtain third-party valuations on the vast majority of the Company's assets and expects to continue to solicit third-party valuations on substantially all assets in the future to the extent practical. Beginning January 1, 2013, the Company generally values each financial instrument at the average of third party valuations received and not rejected as described below. Third-party valuations are not binding on the Company and while the Company generally does not adjust valuations it receives, the Company may challenge or reject a valuation when, based on the validation criteria, the Company determines that such valuation is unreasonable or erroneous. Furthermore, the Company may determine, based on validation criteria, that for a given instrument the average of the third-party valuations received does not result in what the Company believes to be fair value, and in such circumstances the Company may override this average with its own good faith valuation. The validation criteria include the use of the Company's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. Prior to 2013, the valuation process relied more heavily on the use of the Company's models and observation of reported recent trading activity, which was substantiated by third party valuations. The Company's valuation process, including the application of validation criteria, is overseen by the Manager's valuation committee. Because of the inherent uncertainty of valuation, these estimated values may differ significantly from the values that would have been used had a ready market for the financial instruments existed and the differences could be material to the consolidated financial statements.

The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at June 30, 2013:



(In thousands)
Description	Level 1			Level 2			Level 3			Total
Assets:
Cash and cash equivalents	$	201,795		$	—		$	—		$	201,795
Investments at fair value-
Agency residential mortgage-backed securities	$	—		$	914,219		$	27,397		$	941,616
Private label residential mortgage-backed securities	—			—			694,510			694,510
Private label commercial mortgage-backed securities	—			—			23,906			23,906
Commercial mortgage loans	—			—			7,563			7,563
Other asset-backed securities	—			—			39,840			39,840
Common stock	2,987			—			—			2,987
Total investments at fair value	2,987			914,219			793,216			1,710,422
Financial derivatives-assets at fair value-
Credit default swaps on asset-backed securities	—			—			21,134			21,134
Credit default swaps on corporate indices	—			127			—			127
Credit default swaps on asset-backed indices	—			9,618			—			9,618
Interest rate swaps	—			15,967			—			15,967
Total return swaps	—			126			—			126
Unrealized appreciation on futures contracts	5			—			—			5
Total financial derivatives-assets at fair value	5			25,838			21,134			46,977
Repurchase agreements	—			41,188			—			41,188
Total investments, financial derivatives-assets at fair value, and repurchase agreements	$	2,992		$	981,245		$	814,350		$	1,798,587
Liabilities:
Investments sold short at fair value-
U.S. Treasury and Agency residential mortgage-backed securities	$	—		$	(602,822	)	$	—		$	(602,822	)
Common stock	(6,100		)	—			—			(6,100		)
Total investments sold short at fair value	(6,100		)	(602,822		)	—			(608,922		)
Financial derivatives-liabilities at fair value-
Credit default swaps on corporate indices	—			(4,236		)	—			(4,236		)
Credit default swaps on asset-backed indices	—			(13,543		)	—			(13,543		)
Credit default swaps on asset-backed securities	—			—			(541		)	(541		)
Interest rate swaps	—			(22		)	—			(22		)
Total return swaps	—			(118		)	—			(118		)
Unrealized depreciation on futures contracts	(83		)	—			—			(83		)
Total financial derivatives-liabilities at fair value	(83		)	(17,919		)	(541		)	(18,543		)
Securitized debt	—			—			(1,168		)	(1,168		)
Total investments sold short, financial derivatives-liabilities at fair value, and securitized debt	$	(6,183	)	$	(620,741	)	$	(1,709	)	$	(628,633	)

Investments under the Agency residential mortgage-backed securities Level 3 category are investments in Agency interest only RMBS securities. There were no transfers of financial instruments between Level 1, Level 2, or Level 3 during the three or six month period ended June 30, 2013.

The Company's reverse repurchase agreements are carried at cost, which approximates fair value. These liabilities are classified as Level 2 liabilities based on the adequacy of the collateral and their short term nature.

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2013:



	Fair Value as of June 30, 2013		Valuation Technique	Unobservable Input	Range						Weighted Average
Description	Fair Value as of June 30, 2013		Valuation Technique	Unobservable Input	Min			Max			Weighted Average
	(In thousands)
Private label residential mortgage-backed securities and Other asset-backed securities⁽¹⁾	$	678,375	Market Quotes	Non Binding Indicative Price	$	29.00		$	149.87		$	80.52
Private label residential mortgage-backed securities	54,807		Discounted Cash Flows	Yield	6.1		%	20.8		%	10.4		%
				Projected Collateral Prepayments	0.7		%	57.8		%	32.2		%
				Projected Collateral Losses	4.5		%	48.8		%	20.3		%
				Projected Collateral Recoveries	0.0		%	17.9		%	8.9		%
				Projected Collateral Scheduled Amortization	12.2		%	89.2		%	38.6		%
											100.0		%
Private label commercial mortgage-backed securities	11,717		Discounted Cash Flows	Yield	10.2		%	30.1		%	15.9		%
				Projected Collateral Losses	0.3		%	0.3		%	0.3		%
				Projected Collateral Recoveries	9.3		%	9.3		%	9.3		%
				Projected Collateral Scheduled Amortization	90.4		%	90.4		%	90.4		%
											100.0		%
Credit default swaps on asset-backed securities	20,593		Net Discounted Cash Flows	Projected Collateral Prepayments	19.5		%	55.6		%	26.7		%
				Projected Collateral Losses	18.0		%	52.3		%	40.1		%
				Projected Collateral Recoveries	7.3		%	14.6		%	12.7		%
				Projected Collateral Scheduled Amortization	15.6		%	36.6		%	20.5		%
											100.0		%
Private label commercial mortgage-backed securities and Performing commercial mortgage loans	17,202		Market Quotes	Non Binding Indicative Price	$	71.35		$	100.25		$	86.60
Non-performing commercial mortgage loans	2,550		Discounted Cash Flows	Yield	32.3		%	32.3		%	32.3		%
				Months to Resolution	12			12			12
Agency interest only residential mortgage-backed securities	22,814		Market Quotes	Non Binding Indicative Price	$	6.82		$	26.84		$	14.54
Agency interest only residential mortgage-backed securities	4,583		Option Adjusted Spread ("OAS")	LIBOR OAS⁽²⁾	462			1,173			639
				Projected Collateral Prepayments	54.8		%	86.2		%	70.9		%
				Projected Collateral Scheduled Amortization	13.8		%	45.2		%	29.1		%
											100.0		%


(1)	Includes securitized debt with a fair value of $1.2 million as of June 30, 2013.


(2)	Shown in basis points.

Third-party non-binding indicative prices are validated by comparing such prices to internally generated prices based on the Company's models and to recent trading activity in the same or similar instruments.

For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial loans.

Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise.

The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2012:



(In thousands)
Description	Level 1			Level 2			Level 3			Total
Assets:
Cash and cash equivalents	$	59,084		$	—		$	—		$	59,084
Investments at fair value-
Agency residential mortgage-backed securities	$	—		$	811,233		$	6,644		$	817,877
Private label residential mortgage-backed securities	—			—			528,366			528,366
Private label commercial mortgage-backed securities	—			—			19,327			19,327
Commercial mortgage loans	—			—			9,546			9,546
Total investments at fair value	—			811,233			563,883			1,375,116
Financial derivatives-assets at fair value-
Credit default swaps on asset-backed securities	—			—			36,031			36,031
Credit default swaps on asset-backed indices	—			12,468			—			12,468
Interest rate swaps	—			5			—			5
Total financial derivatives-assets at fair value	—			12,473			36,031			48,504
Repurchase agreements	—			13,650			—			13,650
Total investments, financial derivatives-assets at fair value, and repurchase agreements	$	—		$	837,356		$	599,914		$	1,437,270
Liabilities:
Investments sold short at fair value-
U.S. Treasury and Agency residential mortgage-backed securities	$	—		$	(622,301	)	$	—		$	(622,301	)
Financial derivatives-liabilities at fair value-
Credit default swaps on corporate indices	—			(484		)	—			(484		)
Credit default swaps on asset-backed indices	—			(13,468		)	—			(13,468		)
Credit default swaps on asset-backed securities	—			—			(1		)	(1		)
Interest rate swaps	—			(1,124		)	—			(1,124		)
Total return swaps	—			(65		)	—			(65		)
Unrealized depreciation on futures contracts	(70		)	—			—			(70		)
Total financial derivatives-liabilities at fair value	(70		)	(15,141		)	(1		)	(15,212		)
Securitized debt	—			—			(1,335		)	(1,335		)
Total investments sold short and financial derivatives-liabilities at fair value	$	(70	)	$	(637,442	)	$	(1,336	)	$	(638,848	)

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2012:



	Fair Value as of December 31, 2012		Valuation Technique	Unobservable Input	Range				Weighted Average
Description	Fair Value as of December 31, 2012		Valuation Technique	Unobservable Input	Min		Max		Weighted Average
	(In thousands)
Private label residential mortgage-backed securities⁽¹⁾	$	527,031	Discounted Cash Flows	Yield	2.6	%	29.1	%	7.8	%
				Projected Collateral Prepayments	0.7	%	64.6	%	22.7	%
				Projected Collateral Losses	3.7	%	79.7	%	28.0	%
				Projected Collateral Recoveries	0.0	%	41.0	%	21.4	%
				Projected Collateral Scheduled Amortization	4.1	%	90.4	%	27.9	%
									100.0	%
Credit default swaps on asset-backed securities	36,030		Net Discounted Cash Flows	Projected Collateral Prepayments	8.7	%	44.1	%	18.7	%
				Projected Collateral Losses	20.4	%	57.1	%	37.8	%
				Projected Collateral Recoveries	12.2	%	32.8	%	19.3	%
				Projected Collateral Scheduled Amortization	9.8	%	35.5	%	24.2	%
									100.0	%
Private label commercial mortgage-backed securities and Commercial mortgage loans	28,873		Discounted Cash Flows	Yield	5.2	%	17.9	%	9.5	%
				Projected Collateral Losses	0.0	%	25.1	%	3.9	%
				Projected Collateral Recoveries	0.0	%	88.9	%	20.5	%
				Projected Collateral Scheduled Amortization	0.0	%	100.0	%	75.6	%
									100.0	%
Agency interest only residential mortgage-backed securities	6,644		Option Adjusted Spread ("OAS")	LIBOR OAS ⁽²⁾	816		7,558		1,189
				Projected Collateral Prepayments	81.0	%	100.0	%	92.7	%
				Projected Collateral Scheduled Amortization⁽³⁾	0.0	%	19.0	%	7.3	%
									100.0	%


(1)	Includes securitized debt with a fair value of $1.3 million as of December 31, 2012.


(2)	Shown in basis points.


(3)	For simplicity of presentation, net negative amortization is disregarded.

The tables below include a roll-forward of the Company's financial instruments for the three and six month periods ended June 30, 2013 and 2012 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy.

Level 3—Fair Value Measurement Using Significant Unobservable Inputs:

Three Month Period Ended June 30, 2013



(In thousands)	Beginning Balance as of March 31, 2013			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers In and/or Out of Level 3		Ending Balance as of June 30, 2013
Assets:
Investments at fair value-
Agency residential mortgage-backed securities	$	16,228		$	(1,132	)	$	—		$	68		$	12,233	$	—		$	—	$	27,397
Private label residential mortgage-backed securities	557,820			6,471			4,189			(6,636		)	184,029		(51,363		)	—		694,510
Private label commercial mortgage-backed securities	5,778			41			324			(771		)	24,826		(6,292		)	—		23,906
Commercial mortgage loans	9,713			19			482			(73		)	2,550		(5,128		)	—		7,563
Other asset-backed securities	11,638			(68		)	531			(820		)	36,307		(7,748		)	—		39,840
Total investments at fair value	601,177			5,331			5,526			(8,232		)	259,945		(70,531		)	—		793,216
Financial derivatives- assets at fair value-
Credit default swaps on asset-backed securities	26,398			—			(542		)	1,107			42		(5,871		)	—		21,134
Total financial derivatives- assets at fair value	26,398			—			(542		)	1,107			42		(5,871		)	—		21,134
Total investments and financial derivatives-assets at fair value	$	627,575		$	5,331		$	4,984		$	(7,125	)	$	259,987	$	(76,402	)	$	—	$	814,350
Liabilities:
Financial derivatives- liabilities at fair value-
Credit default swaps on asset-backed securities	$	(2	)	$	—		$	(29	)	$	(540	)	$	—	$	30		$	—	$	(541	)
Total financial derivatives- liabilities at fair value	(2		)	—			(29		)	(540		)	—		30			—		(541		)
Securitized debt:
Securitized debt	(1,205		)	(11		)	—			(63		)	111		—			—		(1,168		)
Total securitized debt	(1,205		)	(11		)	—			(63		)	111		—			—		(1,168		)
Total financial derivatives- liabilities at fair value and securitized debt	$	(1,207	)	$	(11	)	$	(29	)	$	(603	)	$	111	$	30		$	—	$	(1,709	)

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2013, as well as Level 3 financial instruments disposed of by the Company during the three month period ended June 30, 2013. For Level 3 financial instruments held by the Company at June 30, 2013, change in net unrealized gain (loss) of $(5.0) million, $1.7 million, $(1.1) million, and $(63.0) thousand, for the three month period ended June 30, 2013 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively.

Level 3—Fair Value Measurement Using Significant Unobservable Inputs:

Three Month Period Ended June 30, 2012



(In thousands)	Beginning Balance as of March 31, 2012			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers In and/or Out of Level 3		Ending Balance as of June 30, 2012
Assets:
Investments at fair value-
Agency residential mortgage-backed securities	$	6,016		$	(553	)	$	—		$	(796	)	$	—	$	—		$	—	$	4,667
Private label residential mortgage-backed securities	408,230			4,914			848			7,475			59,941		(96,349		)	—		385,059
Private label commercial mortgage-backed securities	12,171			139			(35		)	(404		)	21,407		(4,873		)	—		28,405
Commercial mortgage loans	4,500			22			—			128			—		—			—		4,650
Total investments at fair value	430,917			4,522			813			6,403			81,348		(101,222		)	—		422,781
Financial derivatives- assets at fair value-
Credit default swaps on asset-backed securities	48,746			—			(734		)	1,308			103		(10,664		)	—		38,759
Total financial derivatives- assets at fair value	48,746			—			(734		)	1,308			103		(10,664		)	—		38,759
Total investments and financial derivatives-assets at fair value	$	479,663		$	4,522		$	79		$	7,711		$	81,451	$	(111,886	)	$	—	$	461,540
Liabilities:
Securitized debt	$	(1,485	)	$	(15	)	$	—		$	10		$	75	$	—		$	—	$	(1,415	)
Total securitized debt	$	(1,485	)	$	(15	)	$	—		$	10		$	75	$	—		$	—	$	(1,415	)

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2012, as well as Level 3 financial instruments disposed of by the Company during the three month period ended June 30, 2012. For Level 3 financial instruments held by the Company at June 30, 2012, change in net unrealized gain (loss) of $1.6 million, $1.3 million, and $10.0 thousand, for the three month period ended June 30, 2012 relate to investments, financial derivatives–assets, and securitized debt, respectively.

Level 3—Fair Value Measurement Using Significant Unobservable Inputs:

Six Month Period Ended June 30, 2013



(In thousands)	Beginning Balance as of December 31, 2012			Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers In and/or Out of Level 3		Ending Balance as of June 30, 2013
Assets:
Investments at fair value-
Agency residential mortgage-backed securities	$	6,644		$	(2,003	)	$	—		$	306		$	22,450	$	—		$	—	$	27,397
Private label residential mortgage-backed securities	528,366			13,112			19,790			17,383			256,862		(141,003		)	—		694,510
Private label commercial mortgage-backed securities	19,327			98			(1,124		)	2,473			37,168		(34,036		)	—		23,906
Commercial mortgage loans	9,546			27			482			86			2,551		(5,129		)	—		7,563
Other asset-backed securities	—			(117		)	531			(927		)	48,101		(7,748		)	—		39,840
Total investments at fair value	563,883			11,117			19,679			19,321			367,132		(187,916		)	—		793,216
Financial derivatives- assets at fair value-
Credit default swaps on asset-backed securities	36,031			—			2,709			(4,492		)	91		(13,205		)	—		21,134
Total financial derivatives- assets at fair value	36,031			—			2,709			(4,492		)	91		(13,205		)	—		21,134
Total investments and financial derivatives-assets at fair value	$	599,914		$	11,117		$	22,388		$	14,829		$	367,223	$	(201,121	)	$	—	$	814,350
Liabilities:
Financial derivatives- liabilities at fair value-
Credit default swaps on asset-backed securities	$	(1	)	$	—		$	(57	)	$	(540	)	$	—	$	57		$	—	$	(541	)
Total financial derivatives- liabilities at fair value	(1		)	—			(57		)	(540		)	—		57			—		(541		)
Securitized debt:
Securitized debt	(1,335		)	(20		)	—			5			182		—			—		(1,168		)
Total securitized debt	(1,335		)	(20		)	—			5			182		—			—		(1,168		)
Total financial derivatives- liabilities at fair value and securitized debt	$	(1,336	)	$	(20	)	$	(57	)	$	(535	)	$	182	$	57		$	—	$	(1,709	)

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2013, as well as Level 3 financial instruments disposed of by the Company during the six month period ended June 30, 2013. For Level 3 financial instruments held by the Company at June 30, 2013, change in net unrealized gain (loss) of $21.5 million, $(9.1) million, $(1.1) million, and $5.0 thousand, for the six month period ended June 30, 2013 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively.

Level 3—Fair Value Measurement Using Significant Unobservable Inputs:

Six Month Period Ended June 30, 2012



(In thousands)	Beginning Balance as of December 31, 2011		Accreted Discounts / (Amortized Premiums)			Net Realized Gain/ (Loss)			Change in Net Unrealized Gain/(Loss)			Purchases/ Payments		Sales/ Issuances			Transfers In and/or Out of Level 3		Ending Balance as of June 30, 2012
Assets:
Investments at fair value-
U.S. Treasury Agency residential mortgage-backed securities	$	5,337	$	(1,177	)	$	—		$	(365	)	$	872	$	—		$	—	$	4,667
Private label residential mortgage-backed securities	417,533		(9,288		)	7,049			25,136			158,618		(232,565		)	—		385,059
Private label commercial mortgage-backed securities	16,093		256			309			1,283			22,716		(12,252		)	—		28,405
Commercial mortgage loans	4,400		50			—			200			—		—			—		4,650
Total investments at fair value	443,363		8,417			7,358			26,254			182,206		(244,817		)	—		422,781
Financial derivatives- assets at fair value -
Credit default swaps on asset-backed securities	61,498		—			(5,477		)	8,107			226		(25,595		)	—		38,759
Total financial derivatives- assets at fair value	61,498		—			(5,477		)	8,107			226		(25,595		)	—		38,759
Total investments and financial derivatives- assets at fair value	$	504,861	$	8,417		$	1,881		$	34,361		$	182,432	$	(270,412	)	$	—	$	461,540
Liabilities:
Securitized debt	$	—	$	(29	)	$	—		$	21		$	115	$	(1,522	)	$	—	$	(1,415	)
Total securitized debt	$	—	$	(29	)	$	—		$	21		$	115	$	(1,522	)	$	—	$	(1,415	)

All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at June 30, 2012, as well as Level 3 financial instruments disposed of by the Company during the six month period ended June 30, 2012. For Level 3 financial instruments held by the Company at June 30, 2012, change in net unrealized gain (loss) of $11.9 million, $(5.5) million, and $21.0 thousand, for the six month period ended June 30, 2012 relate to investments, financial derivatives–assets, and securitized debt, respectively.