|
Fair Value of Financial Instruments (Tables)
|
9 Months Ended |
|
Sep. 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 September 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 | $ | 3,650,672 |
| | $ | — |
| | $ | 3,650,672 |
| | $ | — |
| Non-Agency MBS: | |
| | |
| | |
| | |
| CMBS (including CMBS IO) | 572,690 |
| | — |
| | 472,374 |
| | 100,316 |
| RMBS | 14,241 |
| | — |
| | 5,640 |
| | 8,601 |
| Other investments | 25 |
| | — |
| | — |
| | 25 |
| Total assets carried at fair value | $ | 4,237,628 |
| | $ | — |
| | $ | 4,128,686 |
| | $ | 108,942 |
| Liabilities: | |
| | |
| | |
| | |
| Derivative liabilities | $ | 46,496 |
| | $ | — |
| | $ | 46,496 |
| | $ | — |
| Total liabilities carried at fair value | $ | 46,496 |
| | $ | — |
| | $ | 46,496 |
| | $ | — |
|
|
| 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 nine months ended September 30, 2012:
| | | | | | | | | | | | | | 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 | % | | 4.4 | % | Non-Agency RMBS | 5 | CPR | | 0.5 | % | | 9.0 | % | | 5.1 | % |
| | (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 nine months ended September 30, 2012: | | | | | | | | | | | | | | | | | | For the Three Months Ended September 30, 2012 | | Level 3 Fair Values | | Non-Agency CMBS | | Non-Agency RMBS | | Other | | Total assets | Balance as of June 30, 2012 | $ | 104,515 |
| | $ | 12,657 |
| | $ | 25 |
| | $ | 117,197 |
| Total unrealized losses: | |
| | |
| | |
| | |
| Included in other comprehensive income | 90 |
| | 41 |
| | — |
| | 131 |
| Principal payments | (4,194 | ) | | (4,108 | ) | | — |
| | (8,302 | ) | Amortization | (95 | ) | | 11 |
| | — |
| | (84 | ) | Balance as of September 30, 2012 | $ | 100,316 |
| | $ | 8,601 |
| | $ | 25 |
| | $ | 108,942 |
|
| | | | | | | | | | | | | | | | | | For the Nine Months Ended September 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 | (1,934 | ) | | 117 |
| | — |
| | (1,817 | ) | Principal payments | (16,409 | ) | | (9,349 | ) | | — |
| | (25,758 | ) | Amortization | (374 | ) | | 37 |
| | — |
| | (337 | ) | Balance as of September 30, 2012 | $ | 100,316 |
| | $ | 8,601 |
| | $ | 25 |
| | $ | 108,942 |
|
|
| 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 September 30, 2012 and December 31, 2011: | | | | | | | | | | | | | | | | | | September 30, 2012 | | December 31, 2011 | | Recorded Basis | | Fair Value | | Recorded Basis | | Fair Value | Assets: | | | | | | | | Agency MBS | $ | 3,650,672 |
| | $ | 3,650,672 |
| | $ | 1,965,159 |
| | $ | 1,965,159 |
| Non-Agency CMBS | 572,690 |
| | 572,690 |
| | 405,826 |
| | 405,826 |
| Non-Agency RMBS | 14,241 |
| | 14,241 |
| | 15,270 |
| | 15,270 |
| Securitized mortgage loans, net | 77,748 |
| | 66,879 |
| | 113,703 |
| | 101,116 |
| Other investments | 896 |
| | 842 |
| | 1,018 |
| | 892 |
| Liabilities: | |
| | |
| | |
| | |
| Repurchase agreements | $ | 3,670,972 |
| | $ | 3,670,972 |
| | $ | 2,093,793 |
| | $ | 2,093,793 |
| Non-recourse collateralized financing | 31,295 |
| | 31,013 |
| | 70,895 |
| | 69,752 |
| Derivative liabilities | 46,496 |
| | 46,496 |
| | 27,997 |
| | 27,997 |
|
|