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Valuation (Tables) | 3 Months Ended
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Mar. 31, 2013
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Measurements | The following tables present the Company's financial instruments measured at fair value on: March 31, 2013:
(In thousands) |  |  |  |  |  |  |  |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | — |  |  | $ | — |  |  | $ | 12,360 |  |  | $ | 12,360 |
Total Real Estate Securities at Fair Value |  | $ | — |  |  | $ | — |  |  | $ | 12,360 |  |  | $ | 12,360 |
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the three month period ended March 31, 2013. December 31, 2012:
(In thousands) |  |  |  |  |  |  |  |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Non-Agency RMBS |  | $ | — |  |  | $ | — |  |  | $ | 13,596 |  |  | $ | 13,596 |
Total Real Estate Securities at Fair Value |  | $ | — |  |  | $ | — |  |  | $ | 13,596 |  |  | $ | 13,596 |
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the period September 25, 2012 (commencement of operations) through December 31, 2012.
Unobservable Input Reconciliation | The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value: Three month period ended March 31, 2013:
(In thousands) | Non-Agency RMBS
Beginning balance 12/31/2012 | $ | 13,596 |
Transfers(1): |
Transfers into level 3 | — |
Transfers out of level 3 | — |
Purchases | 3,331 |
Proceeds from sales | (5,309 | )
Principal repayments | (440 | )
Amortization/accretion, net | 139 |
Net realized gains | 888 |
Change in net unrealized gains | 155 |
Ending balance 3/31/2013 | $ | 12,360 |
Change in net unrealized gain for level 3 assets still held as of March 31, 2013 | $ | 220 |
(1) | Transfers are assumed to occur at the beginning of the period.
Quantitative Information | The following tables present a summary of quantitative information, which management is aware of, about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value: March 31, 2013:
|  | Range |  |
Description |  | Fair Value |  | Valuation Technique |  | Significant Unobservable Input |  | Min |  | Max |  | Weighted Average(1)
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Private Label Residential Mortgage Backed Securities |  | $ | 10,129 |  |  | Market quotes |  | Non Binding Indicative Price |  | $ | 25.55 |  |  | $ | 82.13 |  |  | $ | 69.63 |
Private Label Residential Mortgage Backed Securities |  | $ | 2,231 |  |  | Discounted Cash Flows |  | Yield |  | 7.9 | % |  | 7.9 | % |  | 7.9 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 18.9 | % |  | 18.9 | % |  | 18.9 | %
|  |  |  |  |  | Projected Collateral Losses |  | 34.7 | % |  | 34.7 | % |  | 34.7 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 26.0 | % |  | 26.0 | % |  | 26.0 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 20.4 | % |  | 20.4 | % |  | 20.4 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
(1) | Averages are weighted based on the fair value of the related instrument.
December 31, 2012:
|  | Range |  |
Description |  | Fair Value |  | Valuation Technique |  | Significant Unobservable Input |  | Min |  | Max |  | Weighted Average(1)
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Private Label Residential Mortgage Backed Securities |  | $ | 13,596 |  |  | Discounted Cash Flows |  | Yield |  | 6.2 | % |  | 20.4 | % |  | 8.5 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 12.6 | % |  | 52.2 | % |  | 29.4 | %
|  |  |  |  |  | Projected Collateral Losses |  | 11.3 | % |  | 41.4 | % |  | 26.9 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 6.8 | % |  | 33.2 | % |  | 23.8 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 3.0 | % |  | 52.7 | % |  | 19.9 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
(1) | Averages are weighted based on the fair value of the related instrument.

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- Definition 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. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 6 -Footnote 4 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a,b,bb) -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 32 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI http://asc.fasb.org/extlink&oid=7578670&loc=SL7498348-110258 Reference 5: 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=7578670&loc=d3e19279-110258 Reference 6: 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=7578670&loc=d3e19190-110258 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 33 -Subparagraph a, b -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. + Details
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- 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 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258 Reference 2: 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=7578670&loc=d3e19279-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 32 -Subparagraph c -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. + Details
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- 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=7578670&loc=d3e19207-110258 + Details
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