Valuation (Tables)

3 Months Ended

Mar. 31, 2013

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.

- 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

- 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+ Details