XML 56 R33.htm IDEA: XBRL DOCUMENT v2.4.0.8
Valuation Qualtitative Information (Details) (Level 3 [Member], USD $)
In Thousands, except Per Share data, unless otherwise specified
Sep. 30, 2013
Dec. 31, 2012
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value $ 47,189  
Non-Agency RMBS [Member] | Market Quotes [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value 30,962  
Non-Agency RMBS [Member] | Discounted Cash Flows [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value 3,505 13,596
Non-Agency RMBS [Member] | Minimum [Member] | Market Quotes [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Non Binding Indicative Price $ 30.25  
Non-Agency RMBS [Member] | Minimum [Member] | Discounted Cash Flows [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Yield 12.00% 6.20%
Projected Collateral Prepayments 30.00% 12.60%
Projected Collateral Losses 4.00% 11.30%
Projected Collateral Recoveries 6.50% 6.80%
Projected Collateral Scheduled Amortization 46.30% 3.00%
Non-Agency RMBS [Member] | Maximum [Member] | Market Quotes [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Non Binding Indicative Price $ 102.97  
Non-Agency RMBS [Member] | Maximum [Member] | Discounted Cash Flows [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Yield 19.10% 20.40%
Projected Collateral Prepayments 43.30% 52.20%
Projected Collateral Losses 6.00% 41.40%
Projected Collateral Recoveries 12.60% 33.20%
Projected Collateral Scheduled Amortization 51.40% 52.70%
Non-Agency RMBS [Member] | Weighted Average [Member] | Market Quotes [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Non Binding Indicative Price $ 78.94 [1]  
Non-Agency RMBS [Member] | Weighted Average [Member] | Discounted Cash Flows [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Yield 15.90% [1] 8.50% [1]
Projected Collateral Prepayments 37.30% [1] 29.40% [1]
Projected Collateral Losses 4.90% [1] 26.90% [1]
Projected Collateral Recoveries 9.20% [1] 23.80% [1]
Projected Collateral Scheduled Amortization 48.60% [1] 19.90% [1]
Projected Total 100.00% [1] 100.00% [1]
Interest-Only [Member] | Agency RMBS [Member] | Market Quotes [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value 10,371  
Interest-Only [Member] | Agency RMBS [Member] | Income Approach Valuation Technique [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Fair Value $ 2,351  
Interest-Only [Member] | Agency RMBS [Member] | Minimum [Member] | Market Quotes [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Non Binding Indicative Price $ 4.89  
Interest-Only [Member] | Agency RMBS [Member] | Minimum [Member] | Income Approach Valuation Technique [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
FairValueInputsLiborOas 5.40% [2]  
Projected Collateral Prepayments 59.10%  
Projected Collateral Scheduled Amortization 32.30%  
Interest-Only [Member] | Agency RMBS [Member] | Maximum [Member] | Market Quotes [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Non Binding Indicative Price $ 21.42  
Interest-Only [Member] | Agency RMBS [Member] | Maximum [Member] | Income Approach Valuation Technique [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
FairValueInputsLiborOas 6.45% [2]  
Projected Collateral Prepayments 67.70%  
Projected Collateral Scheduled Amortization 40.90%  
Interest-Only [Member] | Agency RMBS [Member] | Weighted Average [Member] | Market Quotes [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
Non Binding Indicative Price $ 13.80 [1]  
Interest-Only [Member] | Agency RMBS [Member] | Weighted Average [Member] | Income Approach Valuation Technique [Member]
    
Fair Value Inputs, Assets, Quantitative Information [Line Items]    
FairValueInputsLiborOas 5.83% [1],[2]  
Projected Collateral Prepayments 62.60% [1]  
Projected Collateral Scheduled Amortization 37.40% [1]  
Projected Total 100.00% [1]  
[1] Averages are weighted based on the fair value of the related instrument.
[2] Shown in basis points.