v2.4.1.9

Valuation (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2014
Fair Value Disclosures [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 December 31, 2014:
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  | (In thousands)
Cash and cash equivalents |  | $ | 114,140 |  |  | $ | — |  |  | $ | — |  |  | $ | 114,140 |
Investments, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | 1,258,699 |  |  | $ | 31,385 |  |  | $ | 1,290,084 |
U.S. Treasury securities |  | — |  |  | 1,636 |  |  | — |  |  | 1,636 |
Private label residential mortgage-backed securities |  | — |  |  | 284,748 |  |  | 274,369 |  |  | 559,117 |
Private label commercial mortgage-backed securities |  | — |  |  | — |  |  | 53,311 |  |  | 53,311 |
Commercial mortgage loans |  | — |  |  | — |  |  | 28,309 |  |  | 28,309 |
Residential mortgage loans |  | — |  |  | — |  |  | 27,482 |  |  | 27,482 |
Other asset-backed securities and loans |  | — |  |  | — |  |  | 146,288 |  |  | 146,288 |
Corporate debt |  | — |  |  | — |  |  | 42,708 |  |  | 42,708 |
Real estate owned |  | — |  |  | — |  |  | 8,635 |  |  | 8,635 |
Private corporate investments |  | — |  |  | — |  |  | 14,512 |  |  | 14,512 |
Total investments, at fair value |  | — |  |  | 1,545,083 |  |  | 626,999 |  |  | 2,172,082 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 11,387 |  |  | 11,387 |
Credit default swaps on corporate bond indices |  | — |  |  | 35,865 |  |  | — |  |  | 35,865 |
Credit default swaps on asset-backed indices |  | — |  |  | 1,881 |  |  | — |  |  | 1,881 |
Interest rate swaps |  | — |  |  | 28,654 |  |  | — |  |  | 28,654 |
Total return swaps |  | — |  |  | 8 |  |  | — |  |  | 8 |
Swaptions |  | — |  |  | 344 |  |  | — |  |  | 344 |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Liabilities: |  | (In thousands)
Financial derivatives–assets, at fair value- (continued) |  |  |  |  |  |  |  |
Options |  | — |  |  | 645 |  |  | — |  |  | 645 |
Futures |  | 261 |  |  | — |  |  | — |  |  | 261 |
Forwards |  | — |  |  | 884 |  |  | — |  |  | 884 |
Warrants |  | — |  |  | — |  |  | 100 |  |  | 100 |
Total financial derivatives–assets, at fair value |  | 261 |  |  | 68,281 |  |  | 11,487 |  |  | 80,029 |
Repurchase agreements |  | — |  |  | 172,001 |  |  | — |  |  | 172,001 |
Total investments and financial derivatives–assets, at fair value and repurchase agreements |  | $ | 261 |  |  | $ | 1,785,365 |  |  | $ | 638,486 |  |  | $ | 2,424,112 |
Liabilities: |  |  |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | (1,209,539 | ) |  | $ | — |  |  | $ | (1,209,539 | )
Government debt |  | — |  |  | (55,315 | ) |  | — |  |  | (55,315 | )
Common stock |  | (26,516 | ) |  | — |  |  | — |  |  | (26,516 | )
Total investments sold short, at fair value |  | (26,516 | ) |  | (1,264,854 | ) |  | — |  |  | (1,291,370 | )
Financial derivatives–liabilities, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on corporate bond indices |  | — |  |  | (28,588 | ) |  | — |  |  | (28,588 | )
Credit default swaps on corporate bonds |  | — |  |  | (2,953 | ) |  | — |  |  | (2,953 | )
Credit default swaps on asset-backed indices |  | — |  |  | (4,410 | ) |  | — |  |  | (4,410 | )
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | (239 | ) |  | (239 | )
Interest rate swaps |  | — |  |  | (29,405 | ) |  | — |  |  | (29,405 | )
Total return swaps |  | — |  |  | (21 | ) |  | — |  |  | (21 | )
Options |  | — |  |  | (146 | ) |  | — |  |  | (146 | )
Swaptions |  | — |  |  | (137 | ) |  | — |  |  | (137 | )
Futures |  | (81 | ) |  | — |  |  | — |  |  | (81 | )
Forwards |  | — |  |  | (136 | ) |  | — |  |  | (136 | )
Total financial derivatives–liabilities, at fair value |  | (81 | ) |  | (65,796 | ) |  | (239 | ) |  | (66,116 | )
Securitized debt(1) |  | — |  |  | — |  |  | (774 | ) |  | (774 | )
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value |  | $ | (26,597 | ) |  | $ | (1,330,650 | ) |  | $ | (1,013 | ) |  | $ | (1,358,260 | )
(1) | The asset subject to the resecuritization had a fair value of $2.2 million as of December 31, 2014, which is included on the Consolidated Schedule of Investments under Principal and Interest – Private Label Securities.
The table below reflects the value of the Company's Level 1, Level 2, and Level 3 financial instruments at December 31, 2013:
(In thousands) |  |  |  |  |  |  |  |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 183,489 |  |  | $ | — |  |  | $ | — |  |  | $ | 183,489 |
Investments, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | 989,842 |  |  | $ | 40,504 |  |  | $ | 1,030,346 |
Private label residential mortgage-backed securities |  | — |  |  | — |  |  | 580,772 |  |  | 580,772 |
Private label commercial mortgage-backed securities |  | — |  |  | — |  |  | 32,994 |  |  | 32,994 |
Commercial mortgage loans |  | — |  |  | — |  |  | 23,887 |  |  | 23,887 |
Residential mortgage loans |  | — |  |  | — |  |  | 24,062 |  |  | 24,062 |
Other asset-backed securities |  | — |  |  | — |  |  | 38,069 |  |  | 38,069 |
Total investments, at fair value |  | — |  |  | 989,842 |  |  | 740,288 |  |  | 1,730,130 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | 16,646 |  |  | 16,646 |
Credit default swaps on corporate bond indices |  | — |  |  | 14,273 |  |  | — |  |  | 14,273 |
Credit default swaps on asset-backed indices |  | — |  |  | 4,937 |  |  | — |  |  | 4,937 |
Interest rate swaps |  | — |  |  | 23,553 |  |  | — |  |  | 23,553 |
Total return swaps |  | — |  |  | 4 |  |  | — |  |  | 4 |
Options |  | — |  |  | 251 |  |  | — |  |  | 251 |
Total financial derivatives–assets, at fair value |  | — |  |  | 43,018 |  |  | 16,646 |  |  | 59,664 |
Repurchase agreements |  | — |  |  | 27,962 |  |  | — |  |  | 27,962 |
Total investments and financial derivatives–assets, at fair value and repurchase agreements |  | $ | — |  |  | $ | 1,060,822 |  |  | $ | 756,934 |  |  | $ | 1,817,756 |
Liabilities: |  |  |  |  |  |  |  |
Investments sold short, at fair value- |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities |  | $ | — |  |  | $ | (811,957 | ) |  | $ | — |  |  | $ | (811,957 | )
Government debt |  | — |  |  | (27,288 | ) |  | — |  |  | (27,288 | )
Common stock |  | (6,369 | ) |  | — |  |  | — |  |  | (6,369 | )
Total investments sold short, at fair value |  | (6,369 | ) |  | (839,245 | ) |  | — |  |  | (845,614 | )
Financial derivatives–liabilities, at fair value- |  |  |  |  |  |  |  |
Credit default swaps on corporate bond indices |  | — |  |  | (24,949 | ) |  | — |  |  | (24,949 | )
Credit default swaps on asset-backed indices |  | — |  |  | (11,866 | ) |  | — |  |  | (11,866 | )
Credit default swaps on asset-backed securities |  | — |  |  | — |  |  | (350 | ) |  | (350 | )
Interest rate swaps |  | — |  |  | (5,064 | ) |  | — |  |  | (5,064 | )
Total return swaps |  | — |  |  | (67 | ) |  | — |  |  | (67 | )
Options |  | — |  |  | (84 | ) |  | — |  |  | (84 | )
Futures |  | (2,373 | ) |  | — |  |  | — |  |  | (2,373 | )
Forwards |  | — |  |  | (38 | ) |  | — |  |  | (38 | )
Total financial derivatives–liabilities, at fair value |  | (2,373 | ) |  | (42,068 | ) |  | (350 | ) |  | (44,791 | )
Securitized debt(1) |  | — |  |  | — |  |  | (983 | ) |  | (983 | )
Total investments sold short, financial derivatives–liabilities, and securitized debt, at fair value |  | $ | (8,742 | ) |  | $ | (881,313 | ) |  | $ | (1,333 | ) |  | $ | (891,388 | )
(1) | The asset subject to the resecuritization had a fair value of $2.3 million as of December 31, 2013, which is included on the Consolidated Schedule of Investments under Principal and Interest – Private Label Securities.
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 December 31, 2014:
| Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  | Min |  | Max |
| (In thousands) |  |  |  |  |  |  |  |  |  |
Private label residential mortgage-backed securities (1) | $ | 201,373 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 1.83 |  |  | $ | 119.58 |  |  | $ | 73.58 |
Other asset-backed securities | 123,029 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 21.50 |  |  | $ | 137.00 |  |  | $ | 94.91 |
Private label residential mortgage-backed securities | 72,222 |  |  | Discounted Cash Flows |  | Yield |  | 3.0 | % |  | 13.6 | % |  | 7.0 | %
|  |  |  |  | Projected Collateral Prepayments |  | 6.7 | % |  | 100.0 | % |  | 45.6 | %
|  |  |  |  | Projected Collateral Losses |  | 0.0 | % |  | 44.5 | % |  | 11.3 | %
|  |  |  |  | Projected Collateral Recoveries |  | 0.0 | % |  | 22.4 | % |  | 8.0 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 0.0 | % |  | 86.4 | % |  | 35.1 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
Private label commercial mortgage-backed securities | 12,392 |  |  | Discounted Cash Flows |  | Yield |  | 12.0 | % |  | 51.1 | % |  | 23.7 | %
|  |  |  |  | Projected Collateral Losses |  | 0.1 | % |  | 2.5 | % |  | 0.7 | %
|  |  |  |  | Projected Collateral Recoveries |  | 0.9 | % |  | 13.5 | % |  | 6.2 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 85.3 | % |  | 99.0 | % |  | 93.1 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
Corporate debt, non-exchange traded corporate equity, and warrants | 45,668 |  |  | Discounted Cash Flows |  | Yield |  | 7.5 | % |  | 24.3 | % |  | 13.3 | %
|  |  |  |  | Non Binding Third-Party Valuation |  | $ | 73.00 |  |  | $ | 108.00 |  |  | $ | 95.08 |
Other asset-backed securities and loans | 23,259 |  |  | Discounted Cash Flows |  | Yield |  | — | % |  | 14.4 | % |  | 9.1 | %
|  |  |  |  | Projected Collateral Prepayments |  | 62.7 | % |  | 62.7 | % |  | 62.7 | %
|  |  |  |  | Projected Collateral Losses |  | 4.0 | % |  | 4.0 | % |  | 4.0 | %
|  |  |  |  | Projected Collateral Recoveries |  | 1.7 | % |  | 1.7 | % |  | 1.7 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 31.6 | % |  | 31.6 | % |  | 31.6 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
Private label commercial mortgage-backed securities | 40,919 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 5.62 |  |  | $ | 103.25 |  |  | $ | 66.56 |
Performing commercial mortgage loans | 21,328 |  |  | Discounted Cash Flows |  | Yield |  | 9.2 | % |  | 13.1 | % |  | 10.3 | %
Non-performing commercial mortgage loans | 6,981 |  |  | Discounted Cash Flows |  | Yield |  | 15.3 | % |  | 20.1 | % |  | 16.4 | %
|  |  |  |  | Months to Resolution |  | 0.5 |  |  | 10.5 |  |  | 8.2 |
Non-performing residential mortgage loan pools and real estate owned | 36,117 |  |  | Discounted Cash Flows |  | Yield |  | 6.1 | % |  | 12.0 | % |  | 7.3 | %
|  |  |  |  | Months to Resolution |  | 4.1 |  |  | 79.1 |  |  | 24.6 |
Agency interest only residential mortgage-backed securities | 22,928 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 3.62 |  |  | $ | 24.86 |  |  | $ | 11.38 |
Agency interest only residential mortgage-backed securities | 8,457 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(2) |  | (154 | ) |  | 1,796 |  |  | 359 |
|  |  |  |  | Projected Collateral Prepayments |  | 50.2 | % |  | 100.0 | % |  | 75.5 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 0.0 | % |  | 49.8 | % |  | 24.5 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
(continued) | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  | Min |  | Max |
| (In thousands) |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 11,148 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 17.8 | % |  | 55.8 | % |  | 32.5 | %
|  |  |  |  | Projected Collateral Losses |  | 16.5 | % |  | 37.7 | % |  | 29.7 | %
|  |  |  |  | Projected Collateral Recoveries |  | 7.7 | % |  | 18.5 | % |  | 12.8 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 15.9 | % |  | 43.4 | % |  | 25.0 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
Non-exchange traded preferred equity investment in commercial mortgage-related private partnership | 6,241 |  |  | Discounted Cash Flows |  | Yield |  | 10.0 | % |  | 10.0 | % |  | 10.0 | %
|  |  |  |  | Expected Holding Period (Months) |  | 17 |  |  | 17 |  |  | 17 |
Non-exchange traded preferred and common equity investment in mortgage-related entities | 5,411 |  |  | Recent Transactions |  | Transaction Price |  | N/A |  | N/A |  | N/A
(1) | Includes securitized debt with a fair value of $0.8 million as of December 31, 2014.
(2) | Shown in basis points.
The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of December 31, 2013:
| Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Description |  |  |  | Min |  | Max |
| (In thousands) |  |  |  |  |  |  |  |  |  |
Private label residential mortgage-backed securities and Other asset-backed securities(1) | $ | 550,701 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 1.80 |  |  | $ | 110.35 |  |  | $ | 78.09 |
Private label residential mortgage-backed securities | 67,158 |  |  | Discounted Cash Flows |  | Yield |  | 3.8 | % |  | 20.5 | % |  | 8.0 | %
|  |  |  |  | Projected Collateral Prepayments |  | 6.9 | % |  | 64.5 | % |  | 29.7 | %
|  |  |  |  | Projected Collateral Losses |  | 4.3 | % |  | 35.2 | % |  | 17.4 | %
|  |  |  |  | Projected Collateral Recoveries |  | 0.3 | % |  | 17.1 | % |  | 9.1 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 14.1 | % |  | 87.3 | % |  | 43.8 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
Private label commercial mortgage-backed securities | 3,480 |  |  | Discounted Cash Flows |  | Yield |  | 9.2 | % |  | 18.2 | % |  | 13.5 | %
|  |  |  |  | Projected Collateral Losses |  | 0.2 | % |  | 0.2 | % |  | 0.2 | %
|  |  |  |  | Projected Collateral Recoveries |  | 15.4 | % |  | 15.4 | % |  | 15.4 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 84.4 | % |  | 84.4 | % |  | 84.4 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
Private label commercial mortgage-backed securities and commercial mortgage loans | 34,489 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 14.25 |  |  | $ | 102.89 |  |  | $ | 74.24 |
Performing commercial mortgage loans | 8,788 |  |  | Discounted Cash Flows |  | Yield |  | 12.7 | % |  | 12.8 | % |  | 12.7 | %
Non-performing commercial mortgage loans | 10,123 |  |  | Discounted Cash Flows |  | Yield |  | 15.0 | % |  | 15.0 | % |  | 15.0 | %
|  |  |  |  | Months to Resolution |  | 5 |  |  | 7 |  |  | 6 |
Non-performing residential mortgage loan pools | 24,062 |  |  | Discounted Cash Flows |  | Yield |  | 7.4 | % |  | 7.4 | % |  | 7.4 | %
|  |  |  |  | Months to Resolution |  | 16.3 |  |  | 16.3 |  |  | 16.3 |
Agency interest only residential mortgage-backed securities | 38,783 |  |  | Market Quotes |  | Non Binding Third-Party Valuation |  | $ | 6.26 |  |  | $ | 33.77 |  |  | $ | 14.53 |
Agency interest only residential mortgage-backed securities | 1,721 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS(2) |  | 349 |  |  | 645 |  |  | 422 |
|  |  |  |  | Projected Collateral Prepayments |  | 49.0 | % |  | 58.1 | % |  | 51.2 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 41.9 | % |  | 51.0 | % |  | 48.8 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
Credit default swaps on asset-backed securities | 16,296 |  |  | Net Discounted Cash Flows |  | Projected Collateral Prepayments |  | 19.3 | % |  | 59.0 | % |  | 29.9 | %
|  |  |  |  | Projected Collateral Losses |  | 15.5 | % |  | 47.8 | % |  | 34.8 | %
|  |  |  |  | Projected Collateral Recoveries |  | 8.2 | % |  | 15.2 | % |  | 13.1 | %
|  |  |  |  | Projected Collateral Scheduled Amortization |  | 15.7 | % |  | 41.2 | % |  | 22.2 | %
|  |  |  |  |  |  |  |  |  |  | 100.0 | %
(1) | Includes securitized debt with a fair value of $1.0 million as of December 31, 2013.
(2) | Shown in basis points.
Fair Value Measurement Using Significant Unobservable Inputs | Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Year Ended December 31, 2014
(In thousands) | Beginning Balance as of December 31, 2013 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/ Payments |  | Sales/ Issuances |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of December 31, 2014
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 40,504 |  |  | $ | (8,738 | ) |  | $ | 1,404 |  |  | $ | (2,078 | ) |  | $ | 8,448 |  |  | $ | (8,155 | ) |  | $ | — |  |  | $ | — |  |  | $ | 31,385 |
Private label residential mortgage-backed securities | 580,772 |  |  | 20,544 |  |  | 38,600 |  |  | (18,406 | ) |  | 382,956 |  |  | (445,349 | ) |  | — |  |  | (284,748 | ) |  | 274,369 |
Private label commercial mortgage-backed securities | 32,994 |  |  | 1,328 |  |  | 7,055 |  |  | (357 | ) |  | 116,128 |  |  | (103,837 | ) |  | — |  |  | — |  |  | 53,311 |
Commercial mortgage loans | 23,887 |  |  | 2,739 |  |  | 3,156 |  |  | (632 | ) |  | 41,856 |  |  | (42,697 | ) |  | — |  |  | — |  |  | 28,309 |
Residential mortgage loans | 24,062 |  |  | 1,267 |  |  | 1,424 |  |  | 84 |  |  | 14,863 |  |  | (14,218 | ) |  | — |  |  | — |  |  | 27,482 |
Other asset-backed securities and loans | 38,069 |  |  | (3,761 | ) |  | 342 |  |  | (2,409 | ) |  | 148,009 |  |  | (33,962 | ) |  | — |  |  | — |  |  | 146,288 |
Corporate debt | — |  |  | (70 | ) |  | — |  |  | (877 | ) |  | 43,808 |  |  | (153 | ) |  | — |  |  | — |  |  | 42,708 |
Real estate owned | — |  |  | — |  |  | 172 |  |  | (113 | ) |  | 11,247 |  |  | (2,671 | ) |  | — |  |  | — |  |  | 8,635 |
Private corporate investments | — |  |  | — |  |  | — |  |  | (205 | ) |  | 14,717 |  |  | — |  |  | — |  |  | — |  |  | 14,512 |
Total investments, at fair value | 740,288 |  |  | 13,309 |  |  | 52,153 |  |  | (24,993 | ) |  | 782,032 |  |  | (651,042 | ) |  | — |  |  | (284,748 | ) |  | 626,999 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 16,646 |  |  | — |  |  | (4,596 | ) |  | 4,547 |  |  | 464 |  |  | (5,674 | ) |  | — |  |  | — |  |  | 11,387 |
Warrants | — |  |  | — |  |  | — |  |  | — |  |  | 100 |  |  | — |  |  | — |  |  | — |  |  | 100 |
Total financial derivatives– assets, at fair value | 16,646 |  |  | — |  |  | (4,596 | ) |  | 4,547 |  |  | 564 |  |  | (5,674 | ) |  | — |  |  | — |  |  | 11,487 |
Total investments and financial derivatives–assets, at fair value | $ | 756,934 |  |  | $ | 13,309 |  |  | $ | 47,557 |  |  | $ | (20,446 | ) |  | $ | 782,596 |  |  | $ | (656,716 | ) |  | $ | — |  |  | $ | (284,748 | ) |  | $ | 638,486 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives–liabilities, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | $ | (350 | ) |  | $ | — |  |  | $ | (78 | ) |  | $ | 111 |  |  | $ | — |  |  | $ | 78 |  |  | $ | — |  |  | $ | — |  |  | $ | (239 | )
Total financial derivatives– liabilities, at fair value | (350 | ) |  | — |  |  | (78 | ) |  | 111 |  |  | — |  |  | 78 |  |  | — |  |  | — |  |  | (239 | )
Securitized debt: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securitized debt | (983 | ) |  | (15 | ) |  | — |  |  | (22 | ) |  | 246 |  |  | — |  |  | — |  |  | — |  |  | (774 | )
Total securitized debt | (983 | ) |  | (15 | ) |  | — |  |  | (22 | ) |  | 246 |  |  | — |  |  | — |  |  | — |  |  | (774 | )
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,333 | ) |  | $ | (15 | ) |  | $ | (78 | ) |  | $ | 89 |  |  | $ | 246 |  |  | $ | 78 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,013 | )
Year Ended December 31, 2012
(In thousands) | Ending Balance as of December 31, 2011 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/ Payments |  | Sales/ Issuances |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of December 31, 2012
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 5,337 |  |  | $ | (2,277 | ) |  | $ | 111 |  |  | $ | (568 | ) |  | $ | 5,201 |  |  | $ | (1,160 | ) |  | $ | — |  |  | $ | — |  |  | $ | 6,644 |
Private label residential mortgage-backed securities | 417,533 |  |  | 21,896 |  |  | 15,657 |  |  | 69,286 |  |  | 323,554 |  |  | (319,560 | ) |  | — |  |  | — |  |  | 528,366 |
Private label commercial mortgage-backed securities | 16,093 |  |  | 570 |  |  | 7,619 |  |  | (255 | ) |  | 110,752 |  |  | (115,452 | ) |  | — |  |  | — |  |  | 19,327 |
Commercial mortgage loans | 4,400 |  |  | 87 |  |  | — |  |  | 413 |  |  | 4,646 |  |  | — |  |  | — |  |  | — |  |  | 9,546 |
Total investments, at fair value | 443,363 |  |  | 20,276 |  |  | 23,387 |  |  | 68,876 |  |  | 444,153 |  |  | (436,172 | ) |  | — |  |  | — |  |  | 563,883 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 61,498 |  |  | — |  |  | (1,164 | ) |  | 3,218 |  |  | 10,840 |  |  | (38,361 | ) |  | — |  |  | — |  |  | 36,031 |
Total financial derivatives– assets, at fair value | 61,498 |  |  | — |  |  | (1,164 | ) |  | 3,218 |  |  | 10,840 |  |  | (38,361 | ) |  | — |  |  | — |  |  | 36,031 |
Total investments and financial derivatives–assets, at fair value | $ | 504,861 |  |  | $ | 20,276 |  |  | $ | 22,223 |  |  | $ | 72,094 |  |  | $ | 454,993 |  |  | $ | (474,533 | ) |  | $ | — |  |  | $ | — |  |  | $ | 599,914 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives– liabilities, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | $ | — |  |  | $ | — |  |  | $ | (79 | ) |  | $ | (1 | ) |  | $ | — |  |  | $ | 79 |  |  | $ | — |  |  | $ | — |  |  | $ | (1 | )
Total financial derivatives– liabilities, at fair value | — |  |  | — |  |  | (79 | ) |  | (1 | ) |  | — |  |  | 79 |  |  | — |  |  | — |  |  | (1 | )
Securitized debt: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securitized debt | — |  |  | (55 | ) |  | — |  |  | (23 | ) |  | 265 |  |  | (1,522 | ) |  | — |  |  | — |  |  | (1,335 | )
Total securitized debt | — |  |  | (55 | ) |  | — |  |  | (23 | ) |  | 265 |  |  | (1,522 | ) |  | — |  |  | — |  |  | (1,335 | )
Total financial derivatives– liabilities and securitized debt, at fair value | $ | — |  |  | $ | (55 | ) |  | $ | (79 | ) |  | $ | (24 | ) |  | $ | 265 |  |  | $ | (1,443 | ) |  | $ | — |  |  | $ | — |  |  | $ | (1,336 | )
Level 3—Fair Value Measurement Using Significant Unobservable Inputs: Year Ended December 31, 2013
(In thousands) | Ending Balance as of December 31, 2012 |  | Accreted Discounts / (Amortized Premiums) |  | Net Realized Gain/ (Loss) |  | Change in Net Unrealized Gain/(Loss) |  | Purchases/ Payments |  | Sales/ Issuances |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Ending Balance as of December 31, 2013
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency residential mortgage-backed securities | $ | 6,644 |  |  | $ | (5,929 | ) |  | $ | 833 |  |  | $ | 3,323 |  |  | $ | 42,051 |  |  | $ | (6,418 | ) |  | $ | — |  |  | $ | — |  |  | $ | 40,504 |
Private label residential mortgage-backed securities | 528,366 |  |  | 26,119 |  |  | 43,823 |  |  | 12,643 |  |  | 524,864 |  |  | (456,043 | ) |  | — |  |  | — |  |  | 580,772 |
Private label commercial mortgage-backed securities | 19,327 |  |  | 402 |  |  | 1,030 |  |  | 3,069 |  |  | 92,929 |  |  | (83,763 | ) |  | — |  |  | — |  |  | 32,994 |
Commercial mortgage loans | 9,546 |  |  | 171 |  |  | 844 |  |  | 652 |  |  | 19,587 |  |  | (6,913 | ) |  | — |  |  | — |  |  | 23,887 |
Residential mortgage loans | — |  |  | — |  |  | — |  |  | — |  |  | 24,062 |  |  | — |  |  | — |  |  | — |  |  | 24,062 |
Other asset-backed securities | — |  |  | (641 | ) |  | 647 |  |  | (690 | ) |  | 56,436 |  |  | (17,683 | ) |  | — |  |  | — |  |  | 38,069 |
Total investments, at fair value | 563,883 |  |  | 20,122 |  |  | 47,177 |  |  | 18,997 |  |  | 660,929 |  |  | (570,820 | ) |  | — |  |  | — |  |  | 740,288 |
Financial derivatives–assets, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | 36,031 |  |  | — |  |  | (2,826 | ) |  | 1,070 |  |  | 204 |  |  | (17,833 | ) |  | — |  |  | — |  |  | 16,646 |
Total financial derivatives– assets, at fair value | 36,031 |  |  | — |  |  | (2,826 | ) |  | 1,070 |  |  | 204 |  |  | (17,833 | ) |  | — |  |  | — |  |  | 16,646 |
Total investments and financial derivatives–assets, at fair value | $ | 599,914 |  |  | $ | 20,122 |  |  | $ | 44,351 |  |  | $ | 20,067 |  |  | $ | 661,133 |  |  | $ | (588,653 | ) |  | $ | — |  |  | $ | — |  |  | $ | 756,934 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives– liabilities, at fair value- |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities | $ | (1 | ) |  | $ | — |  |  | $ | (78 | ) |  | $ | (349 | ) |  | $ | — |  |  | $ | 78 |  |  | $ | — |  |  | $ | — |  |  | $ | (350 | )
Total financial derivatives– liabilities, at fair value | (1 | ) |  | — |  |  | (78 | ) |  | (349 | ) |  | — |  |  | 78 |  |  | — |  |  | — |  |  | (350 | )
Securitized debt: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securitized debt | (1,335 | ) |  | (38 | ) |  | — |  |  | 20 |  |  | 370 |  |  | — |  |  | — |  |  | — |  |  | (983 | )
Total securitized debt | (1,335 | ) |  | (38 | ) |  | — |  |  | 20 |  |  | 370 |  |  | — |  |  | — |  |  | — |  |  | (983 | )
Total financial derivatives– liabilities and securitized debt, at fair value | $ | (1,336 | ) |  | $ | (38 | ) |  | $ | (78 | ) |  | $ | (329 | ) |  | $ | 370 |  |  | $ | 78 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,333 | )

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