v2.4.0.6

Valuation (Tables)

9 Months Ended

Sep. 30, 2012

Valuation [Abstract]

Schedule Of Financial Instruments

    The table below reflects the value of the Company's Level 1, Level 2 and Level 3 financial instruments at September 30, 2012:

(In thousands)
Description		Level 1			Level 2			Level 3			Total
Assets:
Cash and cash equivalents	$	69,223		$	0		$	0		$	69,223
Investments at fair value-
Agency residential mortgage-backed securities	$	0		$	650,046		$	3,827		$	653,873
Private label residential mortgage-backed
securities		0			0			457,925			457,925
Private label commercial mortgage-backed
securities		0			0			49,196			49,196
Commercial mortgage loans		0			0			4,650			4,650
Total investments at fair value		0			650,046			515,598			1,165,644
Financial derivatives-assets at fair value-
Credit default swaps on asset-backed securities		0			0			31,460			31,460
Credit default swaps on asset-backed indices		0			27,113			0			27,113
Total return swaps		0			257			0			257
Interest rate swaps		0			512			0			512
Total financial derivatives-assets at fair value		0			27,882			31,460			59,342
Repurchase agreements		0			13,780			0			13,780
Total investments, financial derivatives-assets
at fair value andrepurchase agreements	$	0		$	691,708		$	547,058		$	1,238,766
Liabilities:
Investments sold short at fair value-
U.S. Treasury and Agency residential
mortgage-backed securities	$	0		$	(456,824	)	$	0		$	(456,824	)
Financial derivatives-liabilities at fair value-
Credit default swaps on corporate indices		0			(276	)		0			(276	)
Credit default swaps on asset-backed indices		0			(17,676	)		0			(17,676	)
Interest rate swaps		0			(2,126	)		0			(2,126	)
Unrealized depreciation on futures contracts		(87	)		0			0			(87	)
Total financial derivatives-liabilities at fair value		(87	)		(20,078	)		0			(20,165	)
Securitized debt		0			0			(1,439	)		(1,439	)
Total investments sold short, financial derivatives-
liabilities at fair value and securitized debt	$	(87	)	$	(476,902	)	$	(1,439	)	$	(478,428	)

    The table below reflects the value of the Company's Level 1, Level 2 and Level 3 financial instruments at December 31, 2011:

(In thousands)
Description		Level 1		Level 2			Level 3		Total
Assets:
Cash and cash equivalents	$	62,737	$	0		$	0	$	62,737
Investments at fair value-
U.S. Treasury and Agency residential
mortgage-backed securities	$	0	$	769,120		$	5,337	$	774,457
Private label residential mortgage-backed
securities		0		0			417,533		417,533
Private label commercial mortgage-backed
securities		0		0			16,093		16,093
Commercial mortgage loans		0		0			4,400		4,400
Total investments at fair value		0		769,120			443,363		1,212,483
Financial derivatives-assets at fair value-
Credit default swaps on corporate indices		0		963			0		963
Credit default swaps on asset-backed securities		0		0			61,498		61,498
Credit default swaps on asset-backed indices		0		40,303			0		40,303
Interest rate swaps		0		95			0		95
Unrealized appreciation on futures contracts		12		0			0		12
Total financial derivatives-assets at fair value		12		41,361			61,498		102,871
Repurchase agreements		0		15,750			0		15,750
Total investments, financial derivatives-assets
at fair value and repurchase agreements	$	12	$	826,231		$	504,861	$	1,331,104
Liabilities:
Investments sold short at fair value-
U.S. Treasury and Agency residential
mortgage-backed securities	$	0	$	(462,394	)	$	0	$	(462,394	)
Financial derivatives-liabilities at fair value-
Credit default swaps on asset-backed indices		0		(9,548	)		0		(9,548	)
Total return swaps		0		(274	)		0		(274	)
Interest rate swaps		0		(17,218	)		0		(17,218	)
Total financial derivatives-liabilities at fair value		0		(27,040	)		0		(27,040	)
Total investments sold short and financial
derivatives-liabilities at fair value	$	0	$	(489,434	)	$	0	$	(489,434	)

Schedule Of Significant Unobservable Inputs, Qualitative Information

The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2012:

					Range
		Fair Value as of
		September 30,	Valuation						Weighted
Description		2012	Technique	Unobservable Input	Min		Max		Average
		(In thousands)
Private label residential mortgage-backed securities (1)	$	456,486	Discounted Cash Flows	Yield	2.5	%	56.3	%	9.4	%
				Projected Collateral Prepayments	0.6	%	47.0	%	17.7	%
				Projected Collateral Losses	3.7	%	87.5	%	35.0	%
				Projected Collateral Recoveries	0.0	%	39.5	%	19.7	%
				Projected Collateral Scheduled Amortization	3.5	%	90.3	%	27.6	%
									100.0	%
Credit default swaps on asset-backed securities		31,460	Net Discounted Cash Flows	Projected Collateral Prepayments	5.6	%	37.1	%	15.2	%
				Projected Collateral Losses	25.0	%	62.8	%	43.1	%
				Projected Collateral Recoveries	10.0	%	39.3	%	18.9	%
				Projected Collateral Scheduled Amortization	8.0	%	37.1	%	22.8	%
									100.0	%
Private label commercial mortgage-backed securities and Commercial mortgage loans		53,846	Discounted Cash Flows	Yield	0.8	%	13.2	%	7.9	%
				Projected Collateral Losses	0.0	%	40.1	%	1.8	%
				Projected Collateral Recoveries	0.0	%	23.6	%	2.3	%
				Projected Collateral Scheduled Amortization	60.0	%	100.0	%	95.9	%
									100.0	%
Agency interest only residential mortgage-backed securities		3,827	Option Adjusted Spread ("OAS")	LIBOR OAS(2)	526		1,662		1,055
				Projected Collateral Prepayments	84.0	%	96.2	%	89.3	%
				Projected Collateral Scheduled Amortization	3.8	%	16.0	%	10.7	%
									100.0	%

⁽¹⁾ Includes securitized debt with a fair value of $1.4 million as of September 30, 2012.

⁽²⁾ Shown in basis points.

Fair Value Measurement Using Significant Unobservable Inputs

Three Month Period Ended September 30, 2012

		Beginning			Accreted					Change in								Transfers		Ending
		Balance as of			Discounts /					Net								In and/or	Balance as of
		June 30,			(Amortized			Realized		Unrealized								Out of Level		September
(In thousands)		2012			Premiums)			Gain/(Loss)		Gain/(Loss)			Purchases/Payments		Sales/Issuances			3		30, 2012
Assets:
Investments at fair value-
U.S. Treasury and Agency residential
mortgage-backed securities	$	4,667		$	(534	)	$	111	$	(314	)	$	1,057	$	(1,160	)	$	0	$	3,827
Private label residential
mortgage-backed securities		385,059			6,182			5,440		24,013			92,412		(55,181	)		0		457,925
Private label commercial
mortgage-backed securities		28,405			271			2,905		(293	)		57,195		(39,287	)		0		49,196
Commercial mortgage loans		4,650			21			0		(21	)		0		0			0		4,650
Total investments at fair value		422,781			5,940			8,456		23,385			150,664		(95,628	)		0		515,598
Financial derivatives- assets at fair value -
Credit default swaps on asset-backed
securities		38,759			0			3,963		(3,823	)		105		(7,544	)		0		31,460
Total financial derivatives- assets at fair value		38,759			0			3,963		(3,823	)		105		(7,544	)		0		31,460
Total investments and financial derivatives-
assets at fair value	$	461,540		$	5,940		$	12,419	$	19,562		$	150,769	$	(103,172	)	$	0	$	547,058
Liabilities:
Securitized debt	$	(1,415	)	$	(15	)	$	0	$	(51	)	$	42	$	0		$	0	$	(1,439	)
Total securitized debt	$	(1,415	)	$	(15	)	$	0	$	(51	)	$	42	$	0		$	0	$	(1,439	)

Three Month Period Ended September 30, 2011

		Beginning		Accreted						Change in								Transfers		Ending
		Balance as of		Discounts /						Net								In and/or		Balance as of
		June 30,		(Amortized			Realized			Unrealized								Out of		September 30,
(In thousands)		2011		Premiums)			Gain/(Loss)			Gain/(Loss)			Purchases		Sales			Level 3		2011
Assets:
Investments at fair value-
Agency residential mortgage-backed
securities	$	5,227	$	(423	)	$	0		$	(2,169	)	$	2,826	$	0		$	0	$	5,461
Private label residential
mortgage-backed securities		357,894		4,389			3,107			(12,994	)		106,262		(62,394	)		0		396,264
Private label commercial
mortgage-backed securities		10,942		147			(38	)		(1,707	)		6,918		(1,383	)		0		14,879
Commercial mortgage loans		4,650		31			0			(306	)		0		0			0		4,375
Total investments at fair value		378,713		4,144			3,069			(17,176	)		116,006		(63,777	)		0		420,979
Financial derivatives- assets at fair value -
Credit default swaps on asset-backed
securities		69,829		0			3,088			(248	)		122		(12,885	)		0		59,906
Total financial derivatives- assets at fair value		69,829		0			3,088			(248	)		122		(12,885	)		0		59,906
Total investments and financial derivatives-
assets at fair value	$	448,542	$	4,144		$	6,157		$	(17,424	)	$	116,128	$	(76,662	)	$	0	$	480,885

Nine Month Period Ended September 30, 2012

		Beginning		Accreted							Change in								Transfers		Ending
		Balance as of		Discounts /							Net								In and/or		Balance as of
		December 31,		(Amortized				Realized			Unrealized								Out of		September
(In thousands)		2011		Premiums)				Gain/(Loss)			Gain/(Loss)			Purchases/Payments		Sales/Issuances			Level 3		30, 2012
Assets:
Investments at fair value-
U.S. Treasury and Agency residential
mortgage-backed securities	$	5,337	$	(1,711	)	$		111		$	(679	)	$	1,929	$	(1,160	)	$	0	$	3,827
Private label residential
mortgage-backed securities		417,533		15,471				12,489			49,149			251,030		(287,747	)		0		457,925
Private label commercial
mortgage-backed securities		16,093		527				3,213			990			79,911		(51,538	)		0		49,196
Commercial mortgage loans		4,400		71				0			179			0		0			0		4,650
Total investments at fair value		443,363		14,358				15,813			49,639			332,870		(340,445	)		0		515,598
Financial derivatives- assets at fair value -
Credit default swaps on asset-
backed securities		61,498		0				(1,514	)		4,285			330		(33,139	)		0		31,460
Total financial derivatives- assets at fair value		61,498		0				(1,514	)		4,285			330		(33,139	)		0		31,460
Total investments and financial
derivatives-assets at fair value	$	504,861	$	14,358		$		14,299		$	53,924		$	333,200	$	(373,584	)	$	0	$	547,058
Liabilities:
Securitized debt	$	0	$	(44	)		$	0		$	(30	)	$	157	$	(1,522	)	$	0	$	(1,439	)
Total Securitized debt	$	0	$	(44	)		$	0		$	(30	)	$	157	$	(1,522	)	$	0	$	(1,439	)

Nine Month Period Ended September 30, 2011

		Beginning		Accreted					Change in								Transfers		Ending
		Balance as of		Discounts /					Net								In and/or		Balance as of
		December 31,		(Amortized			Realized		Unrealized								Out of		September
(In thousands)		2010		Premiums)			Gain/(Loss)		Gain/(Loss)			Purchases		Sales			Level 3		30, 2011
Assets:
Investments at fair value-
Agency residential
mortgage-backed securities	$	0	$	(843	)	$	97	$	(2,320	)	$	9,682	$	(1,155	)	$	0	$	5,461
Private label residential
mortgage-backed securities		338,839		11,710			17,664		(35,632	)		292,521		(228,838	)		0		396,264
Private label commercial
mortgage-backed securities		1,850		378			859		(3,185	)		23,669		(8,692	)		0		14,879
Commercial mortgage loans		0		92			0		(392	)		4,675		0			0		4,375
Total investments at fair value		340,689		11,337			18,620		(41,529	)		330,547		(238,685	)		0		420,979
Financial derivatives- assets at fair value -
Credit default swaps on asset-backed
securities		102,850		0			8,396		(4,987	)		526		(46,879	)		0		59,906
Total financial derivatives- assets at fair value		102,850		0			8,396		(4,987	)		526		(46,879	)		0		59,906
Total investments and financial
derivatives-assets at fair value	$	443,539	$	11,337		$	27,016	$	(46,516	)	$	331,073	$	(285,564	)	$	0	$	480,885

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Tabular disclosure related to assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a recurring and/or nonrecurring basis in periods after initial recognition. Disclosures include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3) as well as transfers between levels 1 and 2.

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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.

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