XML 42 R32.htm IDEA: XBRL DOCUMENT
v2.4.0.8

Fair Value of Financial Instruments (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2013
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, 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:
| 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 |  |  | $ | — |
| December 31, 2012
| Fair Value |  | Level 1 - Unadjusted Quoted Prices in Active Markets |  | Level 2 - Observable Inputs |  | Level 3 - Unobservable Inputs
Assets: |  |  |  |  |  |  |
Mortgage-backed securities | $ | 4,103,981 |  |  | $ | — |  |  | $ | 3,998,761 |  |  | $ | 105,220 |
Other investments | 25 |  |  | — |  |  | — |  |  | 25 |
Total assets carried at fair value | $ | 4,104,006 |  |  | $ | — |  |  | $ | 3,998,761 |  |  | $ | 105,245 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities | $ | 42,537 |  |  | $ | — |  |  | $ | 42,537 |  |  | $ | — |
Total liabilities carried at fair value | $ | 42,537 |  |  | $ | — |  |  | $ | 42,537 |  |  | $ | — |
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 December 31, 2013:
| 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 | % |  | 8.7 | %
Non-Agency RMBS | 10 CPR |  | 1.0 | % |  | 19.2 | % |  | 8.1 | %
(1) | Data presented are weighted averages.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
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 year ended December 31, 2013:
| Year Ended
| December 31, 2013
| Level 3 Fair Values
| Non-Agency CMBS |  | Non-Agency RMBS |  | Other |  | Total assets
Balance as of January 1, 2011 | $ | 123,703 |  |  | $ | 10,296 |  |  | $ | 25 |  |  | $ | 134,024 |
Purchases | — |  |  | 7,500 |  |  | — |  |  | 7,500 |
Transfers out to Level 2 | (4,670 | ) |  | — |  |  | — |  |  | (4,670 | )
Change in fair value included in OCI | (59 | ) |  | 86 |  |  | — |  |  | 27 |
Principal payments | (18,437 | ) |  | (12,804 | ) |  | — |  |  | (31,241 | )
(Amortization) accretion | (435 | ) |  | 40 |  |  | — |  |  | (395 | )
Balance as of December 31, 2012 | $ | 100,102 |  |  | $ | 5,118 |  |  | $ | 25 |  |  | $ | 105,245 |
Purchases | 26,021 |  |  | — |  |  | — |  |  | 26,021 |
Sales/write-offs to net income | — |  |  | — |  |  | (25 | ) |  | (25 | )
Change in fair value included in OCI | (6,026 | ) |  | 5 |  |  | — |  |  | (6,021 | )
Principal payments | (49,167 | ) |  | (2,421 | ) |  | — |  |  | (51,588 | )
(Amortization) accretion | (197 | ) |  | 45 |  |  | — |  |  | (152 | )
Balance as of December 31, 2013 | $ | 70,733 |  |  | $ | 2,747 |  |  | $ | — |  |  | $ | 73,480 |
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:
| December 31, 2013 |  | December 31, 2012
| Recorded Basis |  | Fair Value |  | Recorded Basis |  | Fair Value
Assets: |  |  |  |  |  |  |
Mortgage-backed securities | $ | 4,018,161 |  |  | $ | 4,018,161 |  |  | $ | 4,103,981 |  |  | $ | 4,103,981 |
Securitized mortgage loans, net (1) | 54,748 |  |  | 45,750 |  |  | 70,823 |  |  | 61,916 |
Other investments (1) | 675 |  |  | 633 |  |  | 858 |  |  | 810 |
Derivative assets | 18,488 |  |  | 18,488 |  |  | — |  |  | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements (2) | $ | 3,580,754 |  |  | $ | 3,580,997 |  |  | $ | 3,564,128 |  |  | $ | 3,564,787 |
Non-recourse collateralized financing (1) | 12,914 |  |  | 12,414 |  |  | 30,504 |  |  | 30,756 |
Derivative liabilities | 6,681 |  |  | 6,681 |  |  | 42,537 |  |  | 42,537 |

X
- Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationLineItems
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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 Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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 Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=28364263&loc=d3e13433-108611 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=28364263&loc=d3e13467-108611 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 12 -URI http://asc.fasb.org/extlink&oid=28364263&loc=d3e13476-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6447952&loc=d3e13220-108610 + Details
Name: | us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueInputsAssetsQuantitativeInformationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19190-110258 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration