v2.4.1.9

Valuation | 12 Months Ended
--- | ---
Dec. 31, 2014
Fair Value Disclosures [Abstract] |
Valuation | Valuation 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 Company's reverse repurchase agreements are carried at cost, which approximates fair value. These liabilities are classified as Level 2 liabilities based on the adequacy of the collateral and their short term nature. There were no transfers of financial instruments between Level 1 and Level 2 during the year ended December 31, 2014. 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.
Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential loans. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. 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.
The Company's reverse repurchase agreements are carried at cost, which approximates fair value. These liabilities are classified as Level 2 liabilities based on the adequacy of the collateral and their short term nature. There were no transfers of financial instruments between Level 1, Level 2, or Level 3 during the year ended December 31, 2013. 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.
For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. The tables below include a roll-forward of the Company's financial instruments for the years ended December 31, 2014, 2013, and 2012 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. 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 | )
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2014, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2014. For Level 3 financial instruments held by the Company at December 31, 2014, change in net unrealized gain (loss) of $6.3 million, $(1.6) million, $(0.1) million and $(22.0) thousand, for the year ended December 31, 2014 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. As of December 31, 2014, the Company transferred $284.7 million of non-Agency RMBS from Level 3 to Level 2. The decision to transfer these assets from Level 3 to Level 2 was based on observed market developments, including an increased volume of buying and selling of these and similar assets, greater consensus among market participants on price based on market quotes, and generally tighter credit spreads driven by improved performance in the underlying collateral as well as increased demand from investors seeking higher yielding assets. These factors have led to greater price transparency for these assets, thereby making a Level 2 designation appropriate in the Company's view. However, changes in observed market developments could impact future price transparency, and thereby cause a change in the level designation in subsequent periods. 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 | )
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2013, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2013. For Level 3 financial instruments held by the Company at December 31, 2013, change in net unrealized gain (loss) of $27.0 million, $(8.4) million, $(0.3) million, and $20.0 thousand for the year ended December 31, 2013 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively. Level 3—Fair Value Measurement Using Significant Unobservable Inputs: 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 | )
All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at December 31, 2012, as well as Level 3 financial instruments disposed of by the Company during the year ended December 31, 2012. For Level 3 financial instruments held by the Company at December 31, 2012, change in net unrealized gain (loss) of $52.4 million, $(10.8) million, $(1.0) thousand, and $(23.0) thousand for the year ended December 31, 2012 relate to investments, financial derivatives–assets, financial derivatives–liabilities, and securitized debt, respectively.

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

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=28364263&loc=d3e13537-108611 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -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 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19207-110258 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -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 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=28364263&loc=d3e13504-108611 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration