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Fair Value of Financial Instruments (Tables)
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9 Months Ended |
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Sep. 30, 2014
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| Fair Value Disclosures [Abstract] |
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| 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, 2014 | | Fair Value | | Level 1 - Unadjusted Quoted Prices in Active Markets | | Level 2 - Observable Inputs | | Level 3 - Unobservable Inputs | Assets: | | | | | | | | Mortgage-backed securities | $ | 3,615,393 |
| | $ | — |
| | $ | 3,563,819 |
| | $ | 51,574 |
| Derivative assets | 7,297 |
| | 339 |
| | 6,958 |
| | — |
| Total assets carried at fair value | $ | 3,622,690 |
| | $ | 339 |
| | $ | 3,570,777 |
| | $ | 51,574 |
| Liabilities: | |
| | |
| | |
| | |
| Derivative liabilities | $ | 18,058 |
| | $ | 17,621 |
| | $ | 437 |
| | $ | — |
| Total liabilities carried at fair value | $ | 18,058 |
| | $ | 17,621 |
| | $ | 437 |
| | $ | — |
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| | | | | | | | | | | | | | | | | | December 31, 2013 | | Fair Value | | Level 1 - Unadjusted Quoted Prices in Active Markets | | Level 2 - Observable Inputs | | Level 3 - Unobservable Inputs | Assets: | | | | | | | | Mortgage-backed securities | $ | 4,018,161 |
| | $ | — |
| | $ | 3,944,681 |
| | $ | 73,480 |
| Derivative assets | 18,488 |
| | — |
| | 18,488 |
| | — |
| Total assets carried at fair value | $ | 4,036,649 |
| | $ | — |
| | $ | 3,963,169 |
| | $ | 73,480 |
| Liabilities: | |
| | |
| | |
| | |
| Derivative liabilities | $ | 6,681 |
| | $ | 5,345 |
| | $ | 1,336 |
| | $ | — |
| Total liabilities carried at fair value | $ | 6,681 |
| | $ | 5,345 |
| | $ | 1,336 |
| | $ | — |
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| 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, 2014: | | | | | | | | | | | | | 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 | % | | 9.4 | % | Non-Agency RMBS | 10 CPR | | 1.0 | % | | 20.0 | % | | 6.6 | % |
| | (1) | Data presented are weighted averages. |
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| 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 during the three and nine months ended September 30, 2014: | | | | | | | | | | | | | | | | | | | | | | | | | | Level 3 Fair Values | | Three Months Ended | | Nine Months Ended | | September 30, 2014 | | September 30, 2014 | | Non-Agency CMBS | | Non-Agency RMBS | | Total assets | | Non-Agency CMBS | | Non-Agency RMBS | | Total assets | Balance as of beginning of period | $ | 62,744 |
| | $ | 2,498 |
| | $ | 65,242 |
| | $ | 70,733 |
| | $ | 2,747 |
| | $ | 73,480 |
| Unrealized gain (loss) included in OCI | 878 |
| | (15 | ) | | 863 |
| | 1,078 |
| | (138 | ) | | 940 |
| Principal payments | (14,290 | ) | | (298 | ) | | (14,588 | ) | | (22,598 | ) | | (753 | ) | | (23,351 | ) | Accretion | 57 |
| | — |
| | 57 |
| | 176 |
| | 329 |
| | 505 |
| Balance as of end of period | $ | 49,389 |
| | $ | 2,185 |
| | $ | 51,574 |
| | $ | 49,389 |
| | $ | 2,185 |
| | $ | 51,574 |
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| 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, 2014 | | December 31, 2013 | | Recorded Basis | | Fair Value | | Recorded Basis | | Fair Value | Assets: | | | | | | | | Mortgage-backed securities | $ | 3,615,393 |
| | $ | 3,615,393 |
| | $ | 4,018,161 |
| | $ | 4,018,161 |
| Mortgage loans held for investment, net (1) | 41,454 |
| | 36,590 |
| | 55,423 |
| | 46,383 |
| Derivative assets | 7,297 |
| | 7,297 |
| | 18,488 |
| | 18,488 |
| Liabilities: | |
| | |
| | |
| | |
| Repurchase agreements (2) | $ | 3,150,254 |
| | $ | 3,150,254 |
| | $ | 3,580,754 |
| | $ | 3,580,997 |
| Non-recourse collateralized financing (1) | 11,194 |
| | 10,757 |
| | 12,914 |
| | 12,414 |
| Derivative liabilities | 18,058 |
| | 18,058 |
| | 6,681 |
| | 6,681 |
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