Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2014

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	$	—



	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	$	—

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.

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

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

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References+ Details