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