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Valuation (Tables) | 9 Months Ended
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Sep. 30, 2013
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Measurements | The following tables present the Company's financial instruments measured at fair value on: September 30, 2013:
(In thousands) |  |  |  |  |  |  |  |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Real estate securities, at fair value: |  |  |  |  |  |  |  |
Agency RMBS: |  |  |  |  |  |  |  |
15-year fixed rate mortgages |  | $ | — |  |  | $ | 199,450 |  |  | $ | — |  |  | $ | 199,450 |
30-year fixed rate mortgages |  | — |  |  | 1,194,445 |  |  | — |  |  | 1,194,445 |
Adjustable rate mortgages |  | — |  |  | 31,707 |  |  | — |  |  | 31,707 |
Interest only securities |  | — |  |  | — |  |  | 12,722 |  |  | 12,722 |
Non-Agency RMBS |  | — |  |  | — |  |  | 34,467 |  |  | 34,467 |
Real estate securities, at fair value |  | — |  |  | 1,425,602 |  |  | 47,189 |  |  | 1,472,791 |
Financial derivatives-assets at fair value: |  |  |  |  |  |  |  |
Fixed payer interest rate swaps |  | — |  |  | 23,077 |  |  | — |  |  | 23,077 |
TBAs |  | — |  |  | 104 |  |  | — |  |  | 104 |
Total financial derivatives-assets at fair value |  | — |  |  | 23,181 |  |  | — |  |  | 23,181 |
Total real estate securities and financial derivatives-assets, at fair value |  | $ | — |  |  | $ | 1,448,783 |  |  | $ | 47,189 |  |  | $ | 1,495,972 |
Liabilities: |  |  |  |  |  |  |  |
Financial derivatives-liabilities at fair value: |  |  |  |  |  |  |  |
Fixed payer interest rate swaps |  | $ | — |  |  | $ | (1,409 | ) |  | $ | — |  |  | $ | (1,409 | )
Fixed payer swaptions |  | — |  |  | (86 | ) |  | — |  |  | (86 | )
TBAs |  | — |  |  | (5,572 | ) |  | — |  |  | (5,572 | )
Total financial derivatives-liabilities at fair value |  | $ | — |  |  | $ | (7,067 | ) |  | $ | — |  |  | $ | (7,067 | )
There were no transfers of financial instruments between Levels 1, 2, or 3 of the fair value hierarchy during the nine month period ended September 30, 2013. December 31, 2012:
(In thousands) |  |  |  |  |  |  |  |
Description |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Real estate securities, at fair value: |  |  |  |  |  |  |  |
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 September 30, 2013:
(In thousands) | Agency RMBS |  | Non-Agency RMBS
Beginning balance at 6/30/2013 | $ | 9,905 |  |  | $ | 38,810 |
Transfers(1): |  |  |
Transfers into level 3 | — |  |  | — |
Transfers out of level 3 | — |  |  | — |
Purchases | 3,094 |  |  | 6,402 |
Proceeds from sales | — |  |  | (9,247 | )
Principal repayments | — |  |  | (2,927 | )
(Amortization)/accretion, net | (626 | ) |  | 307 |
Net realized gains | — |  |  | 581 |
Change in net unrealized gains (losses) | 349 |  |  | 541 |
Ending balance at 9/30/2013 | $ | 12,722 |  |  | $ | 34,467 |
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | 349 |  |  | $ | 718 |
(1) | Transfers are assumed to occur at the beginning of the period.
Nine month period ended September 30, 2013:
(In thousands) | Agency RMBS |  | Non-Agency RMBS
Beginning balance at 12/31/2012 | $ | — |  |  | $ | 13,596 |
Transfers(1): |  |  |
Transfers into level 3 | — |  |  | — |
Transfers out of level 3 | — |  |  | — |
Purchases | 12,116 |  |  | 37,180 |
Proceeds from sales | — |  |  | (14,556 | )
Principal repayments | — |  |  | (4,390 | )
(Amortization)/accretion, net | (761 | ) |  | 631 |
Net realized gains | — |  |  | 1,469 |
Change in net unrealized gains (losses) | 1,367 |  |  | 537 |
Ending balance at 9/30/2013 | $ | 12,722 |  |  | $ | 34,467 |
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | 1,367 |  |  | $ | 630 |
(1) | Transfers are assumed to occur at the beginning of the period.
September 25, 2012 (commencement of operations) to September 30, 2012:
(In thousands) | Non-Agency RMBS
Beginning balance at 09/25/2012 | $ | — |
Transfers(1): |
Transfers into level 3 | — |
Transfers out of level 3 | — |
Purchases | 5,134 |
Proceeds from sales | — |
Principal repayments | — |
(Amortization)/accretion, net | — |
Net realized gains | — |
Change in net unrealized gains (losses) | — |
Ending balance at 9/30/2012 | $ | 5,134 |
Change in net unrealized gains (losses) for level 3 assets still held as of September 30, 2013 | $ | — |
(1) | Transfers are assumed to occur at the beginning of the period.
Quantitative Information | The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2013 and December 31, 2012: September 30, 2013:
|  | Range |  |
Description |  | Fair Value |  | Valuation Technique |  | Significant Unobservable Input |  | Min |  | Max |  | Weighted Average(1)
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Private Label Residential Mortgage-Backed Securities |  | $ | 30,962 |  |  | Market quotes |  | Non Binding Indicative Price |  | $ | 30.25 |  |  | $ | 102.97 |  |  | $ | 78.94 |
Private Label Residential Mortgage-Backed Securities |  | $ | 3,505 |  |  | Discounted Cash Flows |  | Yield |  | 12.0 | % |  | 19.1 | % |  | 15.9 | %
|  |  |  |  |  | Projected Collateral Prepayments |  | 30.0 | % |  | 43.3 | % |  | 37.3 | %
|  |  |  |  |  | Projected Collateral Losses |  | 4.0 | % |  | 6.0 | % |  | 4.9 | %
|  |  |  |  |  | Projected Collateral Recoveries |  | 6.5 | % |  | 12.6 | % |  | 9.2 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 46.3 | % |  | 51.4 | % |  | 48.6 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency RMBS–Interest Only Securities |  | $ | 2,351 |  |  | Option Adjusted Spread ("OAS") |  | LIBOR OAS (2) |  | 540 |  |  | 645 |  |  | 583 |
|  |  |  |  |  | Projected Collateral Prepayments |  | 59.1 | % |  | 67.7 | % |  | 62.6 | %
|  |  |  |  |  | Projected Collateral Scheduled Amortization |  | 32.3 | % |  | 40.9 | % |  | 37.4 | %
|  |  |  |  |  |  |  |  |  |  |  | 100.0 | %
Agency RMBS–Interest Only Securities |  | $ | 10,371 |  |  | Market quotes |  | Non Binding Indicative Price |  | $ | 4.89 |  |  | $ | 21.42 |  |  | $ | 13.80 |
(1) | Averages are weighted based on the fair value of the related instrument.
(2) | Shown in basis points.
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 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 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 Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19190-110258 Reference 4: 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 5: 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 6: 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 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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