Chimera Investment (CIM) 10-K31 Dec 132012 FY Annual reportFinancial data

Company Profile

Document_and_Entity_Informatio

Document and Entity Information (USD $)	12 Months Ended
Document and Entity Information (USD $)	Dec. 31, 2012	Dec. 31, 2013	Jun. 30, 2013
Document Information [Line Items]	'	'	'
Document Type	'10-K	'	'
Amendment Flag	'false	'	'
Document Period End Date	31-Dec-12	'	'
Document Fiscal Year Focus	'2012	'	'
Document Fiscal Period Focus	'FY	'	'
Trading Symbol	'CIM	'	'
Entity Registrant Name	'CHIMERA INVESTMENT CORP	'	'
Entity Central Index Key	'0001409493	'	'
Current Fiscal Year End Date	'--12-31	'	'
Entity Well-known Seasoned Issuer	'No	'	'
Entity Current Reporting Status	'No	'	'
Entity Voluntary Filers	'No	'	'
Entity Filer Category	'Large Accelerated Filer	'	'
Entity Common Stock, Shares Outstanding	'	1,027,626,237	'
Entity Public Float	'	'	$2,941,478,436

CONSOLIDATED_STATEMENTS_OF_FIN

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Assets:	'	'
Cash and cash equivalents	$621,153	$206,299
Agency RMBS, at fair value	1,806,697	3,144,531
Accrued interest receivable	15,248	22,709
Other assets	13,970	1,403
Subtotal	3,144,072	4,193,555
Total assets	7,742,489	7,747,135
Liabilities:	'	'
Repurchase agreements, Agency RMBS ($1.6 billion and $2.9 billion pledged as collateral, respectively)	1,528,025	2,672,989
Accrued interest payable	2,441	3,294
Dividends payable	92,431	112,937
Accounts payable and other liabilities	1,170	1,687
Investment management fees and expenses payable to affiliate	7,675	12,958
Interest rate swaps, at fair value	53,939	44,467
Subtotal	1,685,681	2,848,332
Total liabilities	4,200,010	4,699,516
Commitments and Contingencies (See Note 15)	'	'
Stockholders' Equity:	'	'
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively	'	'
Common stock: par value $0.01 per share; 1,500,000,000 shares authorized, 1,027,597,458 and 1,027,467,089 shares issued and outstanding, respectively	10,268	10,267
Additional paid-in-capital	3,604,554	3,603,739
Accumulated other comprehensive income (loss)	989,936	433,453
Retained earnings (accumulated deficit)	-1,062,279	-999,840
Total stockholders' equity	3,542,479	3,047,619
Total liabilities and stockholders' equity	7,742,489	7,747,135
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	'	'
Assets:	'	'
Non-Agency RMBS transferred to consolidated variable interest entities("VIEs"), at fair value	3,274,204	3,270,332
Securitized loans held for investment, net of allowance for loan losses of $11.6 million and $13.9 million, respectively	1,300,131	256,632
Accrued interest receivable	24,082	26,616
Subtotal	4,598,417	3,553,580
Liabilities:	'	'
Securitized debt, collateralized by Non-Agency RMBS ($3.3 billion and $3.3 billion pledged as collateral, respectively)	1,336,261	1,630,276
Securitized debt, collateralized by loans held for investment ($1.3 billion and $238.0 million pledged as collateral, respectively)	1,169,710	212,778
Accrued interest payable	8,358	8,130
Subtotal	2,514,329	1,851,184
Non-Agency RMBS [Member]	'	'
Assets:	'	'
Senior	88	1,020
Senior interest-only	122,869	188,679
Subordinated	547,794	606,895
Subordinated interest-only	$16,253	$22,019

CONSOLIDATED_STATEMENTS_OF_FIN1

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) (USD $)	Dec. 31, 2012	Dec. 31, 2011
Preferred stock, par value	$0.01	$0.01
Preferred stock, shares authorized	100,000,000	100,000,000
Preferred stock, shares issued	0	0
Preferred stock, shares outstanding	0	0
Common stock, par value	$0.01	$0.01
Common stock, shares authorized	1,500,000,000	1,500,000,000
Common stock, shares issued	1,027,597,458	1,027,467,089
Common stock, shares outstanding	1,027,597,458	1,027,467,089
Securitized Loans Held for Investment [Member] \| Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	'	'
Allowance for loan losses	$11,624,000	$13,938,000
Repurchase Agreements [Member] \| Agency RMBS [Member]	'	'
Securities pledged as collateral	1,600,000,000	2,900,000,000
Securitized Loans [Member] \| Non-Agency RMBS [Member] \| Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	'	'
Securities pledged as collateral	3,300,000,000	3,300,000,000
Securitized Loans [Member] \| Securitized Loans Held for Investment [Member] \| Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	'	'
Securities pledged as collateral	$1,300,000,000	$238,000,000

CONSOLIDATED_STATEMENTS_OF_OPE

CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS) (USD $)	12 Months Ended
In Thousands, except Share data, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Net Interest Income:	'	'	'
Interest income	$172,089	$254,028	$103,360
Interest expense	-10,678	-11,941	-7,749
Net interest income (expense)	462,882	570,166	429,652
Other-than-temporary impairments:	'	'	'
Total other-than-temporary impairment losses	-47,632	-241,962	-40,833
Portion of loss recognized in other comprehensive income (loss)	-84,618	-115,143	-91,012
Net other-than-temporary credit impairment losses	-132,250	-357,105	-131,845
Other gains (losses):	'	'	'
Net unrealized gains (losses) on interest rate swaps	-9,473	-34,478	-9,989
Net realized gains (losses) on interest rate swaps	-20,223	-15,929	-5,788
Net gains (losses) on interest rate swaps	-29,696	-50,407	-15,777
Net unrealized gains (losses) on interest-only RMBS	833	-14,545	3,846
Net realized gains (losses) on sales of investments	85,166	54,353	17,333
Total other gains (losses)	56,303	-10,599	5,402
Net investment income (loss)	386,935	202,462	303,209
Other expenses:	'	'	'
Management fees	49,525	51,969	40,924
Expense recoveries from Manager	-4,712	'	'
Net Management fees	44,813	51,969	40,924
Provision for loan losses, net	368	5,291	7,109
General and administrative expenses	13,986	7,267	6,015
Total other expenses	59,167	64,527	54,048
Income (loss) before income taxes	327,768	137,935	249,161
Income taxes	1	606	756
Net income (loss)	327,767	137,329	248,405
Net income (loss) per share available to common shareholders:	'	'	'
Basic	$0.32	$0.13	$0.30
Diluted	$0.32	$0.13	$0.30
Weighted average number of common shares outstanding:	'	'	'
Basic	1,026,831,033	1,026,365,197	821,675,803
Diluted	1,027,499,255	1,027,171,387	822,617,319
Dividends declared per share of common stock	$0.38	$0.51	$0.69
Comprehensive income (loss):	'	'	'
Net income (loss)	327,767	137,329	248,405
Other comprehensive income (loss):	'	'	'
Unrealized gains (losses) on available-for-sale securities, net	509,399	-549,422	555,835
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	132,250	357,105	131,845
Reclassification adjustment for net realized losses (gains) included in net income (loss)	-85,166	-54,353	-17,333
Other comprehensive income (loss)	556,483	-246,670	670,347
Comprehensive income (loss)	884,250	-109,341	918,752
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] \| Non-Agency Residential Mortgage-Backed Securities and Securitized Loans [Member]	'	'	'
Net Interest Income:	'	'	'
Interest income, Assets of consolidated VIEs	417,351	450,996	472,740
Interest expense, Non-recourse liabilities of consolidated VIEs	($115,880)	($122,917)	($138,699)

CONSOLIDATED_STATEMENTS_OF_CHA

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (DEFICIT) (USD $)	Total	Common Stock Par Value	Additional Paid-in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Accumulated Deficit)
In Thousands	Total	Common Stock Par Value	Additional Paid-in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Accumulated Deficit)
Beginning Balance at Dec. 31, 2009	$2,126,562	$6,693	$2,290,614	$9,776	($180,521)
Net income (loss)	248,405	'	'	'	248,405
Cumulative effect of change in accounting principle	-104,103	'	'	'	-104,103
Unrealized gains (losses) on available-for-sale securities, net	555,835	'	'	555,835	'
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	131,845	'	'	131,845	'
Reclassification adjustment for net realized losses (gains) included in net income (loss)	-17,333	'	'	-17,333	'
Proceeds from direct purchase and dividend reinvestment	504	'	504	'	'
Proceeds from common stock offerings	1,313,624	3,567	1,310,057	'	'
Proceeds from restricted stock grants	716	1	715	'	'
Common dividends declared	-577,469	'	'	'	-577,469
Ending Balance at Dec. 31, 2010	3,678,586	10,261	3,601,890	680,123	-613,688
Net income (loss)	137,329	'	'	'	137,329
Unrealized gains (losses) on available-for-sale securities, net	-549,422	'	'	-549,422	'
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	357,105	'	'	357,105	'
Reclassification adjustment for net realized losses (gains) included in net income (loss)	-54,353	'	'	-54,353	'
Proceeds from direct purchase and dividend reinvestment	1,120	4	1,116	'	'
Proceeds from common stock offerings	22	'	22	'	'
Proceeds from restricted stock grants	713	2	711	'	'
Common dividends declared	-523,481	'	'	'	-523,481
Ending Balance at Dec. 31, 2011	3,047,619	10,267	3,603,739	433,453	-999,840
Net income (loss)	327,767	'	'	'	327,767
Unrealized gains (losses) on available-for-sale securities, net	509,399	'	'	509,399	'
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	132,250	'	'	132,250	'
Reclassification adjustment for net realized losses (gains) included in net income (loss)	-85,166	'	'	-85,166	'
Proceeds from direct purchase and dividend reinvestment	117	1	116	'	'
Proceeds from restricted stock grants	699	'	699	'	'
Common dividends declared	-390,206	'	'	'	-390,206
Ending Balance at Dec. 31, 2012	$3,542,479	$10,268	$3,604,554	$989,936	($1,062,279)

CONSOLIDATED_STATEMENTS_OF_CHA1

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (DEFICIT) (Parenthetical) (USD $)	12 Months Ended
	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Common dividends declared, per share	$0.38	$0.51	$0.69

CONSOLIDATED_STATEMENTS_OF_CAS

CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Cash Flows From Operating Activities:	'	'	'
Net income (loss)	$327,767	$137,329	$248,405
Adjustments to reconcile net income to net cash provided by (used in) operating activities:	'	'	'
(Accretion) amortization of investment discounts/premiums, net	-67,262	-60,705	-66,483
Amortization of deferred financing costs	8,546	'	'
Accretion (amortization) of securitized debt discounts/premiums, net	6,985	12,551	16,655
Net unrealized losses (gains) on interest rate swaps	9,473	34,478	9,989
Net unrealized losses (gains) on interest-only RMBS	-833	14,545	-3,846
Net realized losses (gains) on sales of investments	-85,166	-54,353	-17,333
Net other-than-temporary credit impairment losses	132,250	357,105	131,845
Provision for loan losses, net	368	5,291	7,109
Equity-based compensation expense	449	713	716
Changes in operating assets:	'	'	'
Decrease (increase) in accrued interest receivable, net	9,111	-672	-17,570
Decrease (increase) in other assets	-348	-190	282
Changes in operating liabilities:	'	'	'
Increase (decrease) in accounts payable and other liabilities	-517	1,294	-79
Increase (decrease) in investment management fees and expenses payable to affiliate	-5,823	536	3,903
Increase (decrease) in accrued interest payable, net	-625	-217	8,406
Net cash provided by (used in) operating activities	334,915	447,705	321,999
Cash Flows From Investing Activities:	'	'	'
Net cash provided by (used in) investing activities	988,806	-114,112	-1,584,887
Cash Flows From Financing Activities:	'	'	'
Proceeds from repurchase agreements	6,826,546	15,247,543	15,370,110
Payments on repurchase agreements	-7,971,512	-14,383,351	-15,536,715
Net proceeds from common stock offerings	'	22	1,313,623
Payment of deferred financing costs	-9,488	'	'
Proceeds from securitized debt borrowings, collateralized by loans held for investment	1,426,983	'	'
Payments on securitized debt borrowings, collateralized by loans held for investment	-470,288	-80,181	-106,186
Proceeds from securitized debt borrowings, collateralized by Non-Agency RMBS	181,201	310,972	1,295,657
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	-481,464	-645,603	-574,399
Net proceeds from direct purchase and dividend reinvestment	367	1,120	504
Common dividends paid	-410,712	-584,989	-516,812
Net cash provided by (used in) financing activities	-908,867	-134,467	1,245,782
Net increase (decrease) in cash and cash equivalents	414,854	199,126	-17,106
Cash and cash equivalents at beginning of period	206,299	7,173	24,279
Cash and cash equivalents at end of period	621,153	206,299	7,173
Supplemental disclosure of cash flow information:	'	'	'
Interest received	530,578	640,199	521,643
Interest paid	120,734	120,688	129,419
Taxes paid	'	'	756
Management fees and expenses paid to affiliate	54,808	51,383	37,212
Payable for investments purchased	'	'	127,693
Net change in unrealized gain (loss) on available-for sale securities	556,483	-246,670	670,347
Non-cash financing activities:	'	'	'
Common dividends declared, not yet paid	92,431	112,937	174,445
Residential Mortgage-Backed Securities [Member]	'	'	'
Adjustments to reconcile net income to net cash provided by (used in) operating activities:	'	'	'
Net realized losses (gains) on sales of investments	-85,166	-54,353	'
Cash Flows From Investing Activities:	'	'	'
Purchases	-124,216	-4,174,746	-4,022,951
Sales	943,350	2,628,994	896,261
Principal payments	717,352	677,190	808,678
Residential Mortgage-Backed Securities transferred to consolidated VIEs [Member]	'	'	'
Cash Flows From Investing Activities:	'	'	'
Principal payments	505,779	668,924	619,795
Securitized Loans [Member]	'	'	'
Cash Flows From Investing Activities:	'	'	'
Purchases	-1,531,014	'	'
Principal payments	$477,555	$85,526	$113,330

Organization

Organization	12 Months Ended
Organization	Dec. 31, 2012
Organization	'
	1. Organization

	Chimera Investment Corporation (the “Company”) was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). The Company formed the following wholly-owned qualified REIT subsidiaries: Chimera Securities Holdings, LLC in July 2008; Chimera Asset Holding LLC and Chimera Holding LLC in June 2009; and Chimera Special Holding LLC in January 2010 which is a wholly-owned subsidiary of Chimera Asset Holding LLC. In July 2010, the Company formed CIM Trading Company LLC, a wholly-owned taxable REIT subsidiary (“TRS”).

	Annaly Capital Management, Inc. (“Annaly”) owns approximately 4.38% of the Company’s common shares. The Company is managed by Fixed Income Discount Advisory Company (“FIDAC”), an investment advisor registered with the Securities and Exchange Commission (“SEC”). FIDAC is a wholly-owned subsidiary of Annaly.

Summary_of_the_Significant_Acc

Summary of the Significant Accounting Policies	12 Months Ended
	Dec. 31, 2012
Summary of the Significant Accounting Policies	'
	2. Summary of the Significant Accounting Policies

	(a) Basis of Presentation and Consolidation

	The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). In the opinion of management, all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. Certain prior year amounts have been reclassified to conform with the current year's presentation.

	The consolidated financial statements include, on a consolidated basis, the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities (“VIEs”) in which the Company is the primary beneficiary. All significant intercompany balances and transactions have been eliminated in consolidation.

	VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary, and is generally the entity with (i) the power to direct the activities that most significantly impact the VIE’s economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE.

	The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. Prior to January 1, 2010, these VIEs met the definition of Qualified Special Purpose Entities (“QSPE”) and, as such, were not subject to consolidation by the Company. Effective January 1, 2010, all such VIEs were considered for consolidation based on the criteria in ASC 810, Consolidation, resulting in the consolidation of certain VIEs that were not previously consolidated. Non-Agency RMBS transferred to consolidated VIEs are composed entirely of senior certificates.

	(b) Statements of Financial Condition Presentation

	The Company’s Consolidated Statements of Financial Condition separately present: (i) the Company’s direct assets and liabilities, and (ii) the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company.

	The Company has aggregated all the assets and liabilities of the consolidated securitization vehicles due to the determination that these entities are substantively similar and therefore a further disaggregated presentation would not be more meaningful. The notes to the consolidated financial statements describe the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles.

	(c) Cash and Cash Equivalents

	Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2012 and 2011.

	(d) Agency and Non-Agency Residential Mortgage-Backed Securities

	The Company invests in residential mortgage-backed securities (“RMBS”) representing interests in obligations backed by pools of mortgage loans. The Company delineates between (1) Agency RMBS and (2) Non-Agency RMBS as follows: Agency RMBS are mortgage pass-through certificates, collateralized mortgage obligations (“CMOs”), and other RMBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation. Non-Agency RMBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency RMBS is subject to the performance of the mortgage loans or RMBS collateralizing the obligation.

	The Company classifies its RMBS as available-for-sale, records investments at estimated fair value as described in Note 5 of these Consolidated Financial Statements, and includes unrealized gains and losses considered to be temporary on all RMBS, excluding interest-only strips, in Other comprehensive income (loss) in the Consolidated Statements of Operations and Comprehensive Income (Loss). Interest-only strips are recorded at estimated fair value and all unrealized gains and losses are included in earnings in the Consolidated Statements of Operations and Comprehensive Income (Loss). From time to time, as part of the overall management of its portfolio, the Company may sell any of its RMBS investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations and Comprehensive Income (Loss) utilizing the average cost method.

	The Company’s accounting policy for interest income and impairment related to its RMBS is as follows:

	Interest Income Recognition

	The recognition of interest income on RMBS securities varies depending on the characteristics of the security as follows:

	Agency RMBS and Non-Agency RMBS of High Credit Quality

	ASC 310-20, Nonrefundable Fees and Other Costs (“ASC 310-20”) is applied to the recognition of interest income for the following securities:

	●	Agency RMBS
	●	Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”):

	1.	Rated AA or higher by a nationally recognized credit rating agency. The Company uses the lowest rating available.
	2.	The Company expects to collect all of the security’s contractual cash flows.
	3.	The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment.

	Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the constant effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security on a quarterly basis. This recalculation results in the recognition of an adjustment to the carrying amount of the security based on the revised prepayment assumptions and a corresponding increase or decrease in reported interest income.

	Non-Agency RMBS Not of High Credit Quality

	Non-Agency RMBS that are purchased at a discount and that are not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality (“ASC 310-30”) or ASC 325-40, Beneficial Interests in Securitized Financial Assets (“ASC 325-40”) (referred to hereafter as “Non-Agency RMBS Not of High Credit Quality”).

	Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date:

	1.	There is evidence of deterioration in credit quality of the security from its inception.
	2.	It is probable that the Company will be unable to collect all contractual cash flows of the security.

	Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date:

	1.	The security is not of high credit quality (defined as rated below AA or is unrated), or
	2.	The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment.

	Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. Quarterly, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount and/or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment ("OTTI") results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income.

Impairment

Considerations Applicable to all RMBS

When the fair value of an available-for-sale RMBS is less than its amortized cost the security is considered impaired. On at least a quarterly basis the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining or non-credit component is recorded as a component of other comprehensive income (loss) ("OCI"). Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recoveries in fair value may not be adjusted through earnings.

When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is subjective as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI, its timing and amount, is based on estimates that may change materially over time.

The Company’s estimate of the amount and timing of cash flows for its RMBS is based on its review of the underlying securities or mortgage loans securing the RMBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation (“FICO”) scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, such as Moody’s Investors Service, Inc., Standard & Poor’s Rating Services or Fitch Ratings, Inc., general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its RMBS.

Considerations Applicable to Non-Agency RMBS of High Credit Quality

The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income (loss).

Following the recognition of an OTTI through earnings for the credit loss component, a new amortized cost basis is established for the security and subsequent recoveries in fair value may not be adjusted through earnings.

Considerations Applicable to Non-Agency RMBS Not of High Credit Quality

Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e., adverse changes in either the amount or timing of cash flows from those previously expected).

The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income (loss). The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income (loss) comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30.

Following the recognition of an OTTI through earnings for the credit component, a new amortized cost basis is established for the security and subsequent recoveries in fair value may not be adjusted through earnings. However, to the extent that there are subsequent increases in cash flows expected to be collected, the OTTI previously recorded through earnings may be accreted into interest income following the guidance in ASC 325-40 or ASC 310-30.

The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time.

(e) Interest-Only RMBS

The Company invests in interest-only (“IO”) Agency and Non-Agency RMBS. IO RMBS represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. The Company has accounted for IO RMBS at fair value with changes in fair value recognized in the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss). The Company has elected the fair value option to account for IO RMBS to simplify the reporting of changes in fair value. The IO RMBS are included in RMBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Interest income on IO RMBS is accrued based on the outstanding notional balance and the security’s contractual terms, and amortization of any premium or discount is calculated in accordance with ASC 325-40. Changes in fair value are presented in Net unrealized gains (losses) on interest-only RMBS on the Consolidated Statement of Operations and Comprehensive Income (Loss). Interest income reported on IO securities was $23.1 million, $32.5 million and $18.8 million for the years ended December 31, 2012, 2011 and 2010, respectively.

(f) Securitized Loans Held for Investment and Related Allowance for Loan Losses

The Company’s securitized residential mortgage loans are comprised of fixed-rate and variable-rate loans. Mortgage loans are designated as held for investment, and are carried at their principal balance outstanding, plus any premiums, less discounts and allowances for loan losses. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method. Nonrefundable fees and costs related to acquiring the Company's securitized residential mortgage loans are recognized as expenses over the life of the loans as an adjustment of yield. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Income recognition is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. The Company estimates the fair value of securitized loans for disclosure purposes only as described in Note 5 of these consolidated financial statements.

(g) Allowance for Loan Losses – Securitized Loans Held for Investment

The securitized loan portfolio is comprised primarily of non-conforming, single family, owner occupied, jumbo, prime loans that are not guaranteed as to repayment of principal or interest. Securitized loans are serviced and modified by a third-party servicer. The Company is not involved in the loan modification process, except as it relates to the CSMC 2012-CIM1, CSMC 2012-CIM2 and CSMC 2012-CIM3 securitization vehicles consolidated by the Company that are collateralized by residential mortgage loans. As it relates solely to CSMC 2012-CIM1, CSMC 2012-CIM2 and CSMC 2012-CIM3 , the Company has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to loans in technical default, including whether or not to proceed with foreclosure.

The Company has established an allowance for loan losses related to securitized loans that is composed of a general and specific reserve. The general reserve relates to loans that have not been individually evaluated for impairment and is accounted for under ASC 450, Contingencies. The general reserve is based on historical loss rates for pools of loans with similar credit characteristics, adjusted for current trends and conditions.

Certain loans are individually evaluated for impairment under ASC 310, Receivables, including securitized loans modified by the servicer and loans more than 60 days delinquent. Loan modifications made by the servicer are evaluated to determine if they constitute troubled debt restructurings (“TDRs”). A restructuring of a loan constitutes a TDR if the servicer, for economic or legal reasons related to the borrower's financial difficulties, grants a concession to the borrower that it would not otherwise consider. Impairment of modified loans considered to be TDRs is measured based on the present value of expected cash flows discounted at the loan’s effective interest rate at inception. If the present value of expected cash flows is less than the recorded investment in the loan, an allowance for loan losses is recognized with a corresponding charge to the provision for loan losses. Impairment of all other loans individually evaluated is measured as the difference between the unpaid principal balance and the estimated fair value of the collateral, less estimated costs to sell. The Company charges off the corresponding loan allowance and related principal balance when the servicer reports a realized loss. A complete discussion of securitized loans held for investment is included in Note 4 to these consolidated financial statements.

(h) Repurchase Agreements

The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, Transfers and Servicing (“ASC 860”), at the inception of each transaction and has determined that each of the Company’s repurchase agreements meet the specified criteria in this guidance to be accounted for as secured borrowings. None of the Company’s repurchase agreements are accounted for as components of linked transactions. As a result, the Company separately accounts for the financial assets posted as collateral and related repurchase agreements in the accompanying consolidated financial statements.

(i) Securitized Debt, Non-Agency RMBS Transferred to Consolidated VIEs, and Securitized Debt, Loans Held for Investment

The Company has issued securitized debt to finance a portion of its residential mortgage loan and RMBS portfolios. Certain transactions involving residential mortgage loans are accounted for as secured borrowings, and are recorded as “Securitized loans held for investment” and the corresponding debt as “Securitized debt, loans held for investment” in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. Re-securitization transactions classified as “Securitized debt, Non-Agency RMBS transferred to consolidated VIEs” reflect the transfer to a trust of fixed or adjustable rate RMBS which are classified as “Non-Agency RMBS transferred to consolidated VIEs” that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings pursuant to ASC 860. For the year ended December 31, 2012, the Company did not have any continuing involvement, other than as a passive investor, with any loans or securities previously sold, except as it relates to the loans in the CSMC 2012-CIM1, CSMC 2012-CIM2 and CSMC 2012-CIM3 securitizations as further described above. The holders of securitized debt have no recourse to the Company and the Company does not receive any interest or principal paid on such debt. As of December 31, 2012 and 2011 the Company recorded $2.5 billion and $1.9 billion in principal on securitized debt and accrued interest payable, respectively. The associated securitized debt is carried at amortized cost. The Company estimates the fair value of its securitized debt for disclosure purposes as described in Note 5 to these consolidated financial statements.

(j) Fair Value Disclosure

A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements.

(k) Derivative Financial Instruments

The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps and interest rate caps, as a means of managing its interest rate risk. The Company intends to use interest rate derivative instruments to manage interest rate risk rather than to enhance returns. Interest rate swaps are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. Net payments on interest rate swaps are included in the Consolidated Statements of Cash Flows as a component of net income (loss). Unrealized gains (losses) on interest rate swaps are removed from net income (loss) to arrive at cash flows from operating activities. The Company estimates the fair value of interest rate swaps as described in Note 5 of these consolidated financial statements.

The Company elects to net by counterparty the fair value of interest rate swap contracts. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual swaps receivable and payable with each counterparty and, therefore, the fair value of those swap contracts are reported net by counterparty. The credit support annex provisions of the Company’s interest rate swap contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of interest rate swap contracts, it also nets by counterparty any collateral exchanged as part of the interest rate swap contracts.

(l) Sales, Securitizations, and Re-Securitizations

The Company periodically enters into transactions in which it sells financial assets, such as RMBS, and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average value of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales and the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized and/or re-securitized assets.

(m) Income Taxes

The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will not be subject to federal, state or local income tax to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. The Company and CIM Trading made a joint election to treat CIM Trading as a TRS. As such, CIM Trading is taxable as a domestic C corporation and subject to federal, state, and local income taxes based upon its taxable income.

The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for tax positions taken or expected to be taken on a tax return. The Company does not have any unrecognized tax benefits that would affect its financial position. The Company has not taken any tax positions that would require disclosure under ASC 740. No accruals for penalties and interest were necessary as of December 31, 2012 or December 31, 2011.

(n) Net Income per Share

The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments, such as unvested restricted stock, but uses the average share price for the period in determining the number of incremental shares that are to be added to the diluted weighted average number of shares outstanding.

(o) Stock-Based Compensation

The Company accounts for stock-based compensation awards granted to the employees of FIDAC and FIDAC’s affiliates in accordance with ASC 505-50, Equity-Based Payments to Non-Employees (“ASC 505-50”). Pursuant to ASC 505-50 the Company measures the fair value of the equity instrument using the stock prices and other measurement assumptions as of the earlier of either the date at which a performance commitment by the recipient is reached or the date at which the recipient’s performance is complete. Compensation expense related to the grants of stock is recognized over the vesting period of such grants based on the fair value of the stock on each quarterly vesting date, at which the recipient’s performance is complete.

The Company accounts for stock-based compensation awards granted to the Company’s independent directors in accordance with ASC 718, Compensation – Stock Compensation (“ASC 718”). Compensation expense for equity based awards granted to the Company’s independent directors is recognized pro-rata over the vesting period of such awards, based upon the fair value of such awards at the grant date.

(p) Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. Management has made significant estimates in accounting for income recognition and OTTI on Agency and Non-Agency RMBS and IO RMBS (Note 3), valuation of Agency and Non-Agency RMBS (Notes 3 and 5), and interest rate swaps (Notes 5 and 9). Actual results could differ materially from those estimates.

(q) Recent Accounting Pronouncements

Presentation

Balance Sheet (Topic 210)

On December 23, 2011, the FASB released Accounting Standards Update (“ASU”) 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. Under this update, the Company will be required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and transactions subject to an agreement similar to a master netting arrangement. The scope would include derivatives, sale and repurchase agreements and reverse sale and repurchase agreements and securities borrowing and securities lending arrangements. This disclosure is intended to enable financial statement users to understand the effect of such arrangements on the Company’s financial position. This update is effective for the Company for financial statements presented beginning in the first quarter of 2013. This update will result in additional disclosure but will have no impact on total assets, liabilities, stockholders’ equity, or Net income (loss).

Comprehensive Income (Topic 220)

In June 2011, the FASB released ASU 2011-05, Comprehensive Income: Presentation of Comprehensive Income, which attempts to improve the comparability, consistency, and transparency of financial reporting and increase the prominence of items reported in OCI. ASU 2011-05 requires that all non-owner changes in stockholders’ equity be presented either in a single continuous statement of net income and comprehensive income or two separate consecutive statements. Either presentation requires the presentation on the face of the financial statements any reclassification adjustments for items that are reclassified from OCI to net income in the statements. There is no change in what must be reported in OCI or when an item of OCI must be reclassified to net income. This update is effective for fiscal years, and interim periods within those years, beginning after December 15, 2011. The Company adopted the provisions of ASU 2011-05 effective January 1, 2012. Adoption of ASU 2011-05 did not have a significant impact on the Company’s consolidated financial statements.

On December 23, 2011, the FASB issued ASU 2011-12, Comprehensive Income: Deferral of Effective Date for Amendments to the Presentation of Reclassifications of Items Out of Accumulated Other Comprehensive Income In ASU No. 2011-05, which defers those changes in ASU 2011-05 that relate to the presentation of reclassification adjustments out of accumulated OCI. This deferral was made to allow the FASB time to re-deliberate the presentation, on the face of the financial statements, of the effects of reclassifications out of accumulated OCI on the components of net income and OCI. No other requirements under ASU 2011-05 are affected by ASU 2011-12. FASB tentatively decided not to require presentation of reclassification adjustments out of accumulated OCI on the face of the financial statements and to propose new disclosures instead.

In February 2013, the FASB issued ASU 2013-02 Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income. This update addresses the disclosure issue left open at the deferral under ASU 2011-12. This update requires the provision of information about the amounts reclassified out of accumulated OCI by component. In addition, it requires presentation, either on the face of the statement where net income is presented or in the Notes, significant amounts reclassified out of accumulated OCI by the respective line items of net income, but only if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period. For other amounts that are not required under GAAP to be reclassified in their entirety to net income, a cross-reference must be provided to other disclosures required under GAAP that provide additional detail about those amounts. This update is effective for the Company for financial statements presented beginning in the first quarter of 2013. Adoption of ASU 2013-02 is not expected to have a significant impact on the consolidated financial statements.

Broad Transactions

Fair Value Measurements and Disclosures (Topic 820)

In May 2011, the FASB released ASU 2011-04, Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS, further converging U.S. GAAP and IFRS by providing common fair value measurement and disclosure requirements. FASB made changes to the fair value measurement guidance, which include: 1) prohibiting the inclusion of block discounts in all fair value measurements, not just Level 1 measurements, 2) adding guidance on when to include other premiums and discounts in fair value measurements, 3) clarifying that the concepts of “highest and best use” and “valuation premise” apply only when measuring the fair value of non-financial assets and 4) adding an exception that allows the measurement of a group of financial assets and liabilities with offsetting risks (e.g., a portfolio of derivative contracts) at their net exposure to a particular risk if certain criteria are met. ASU 2011-04 also requires additional disclosure related to items categorized as Level 3 in the fair value hierarchy, including a description of the processes for valuing these assets, providing quantitative information about the significant unobservable inputs used to measure fair value and, in certain cases, explaining the sensitivity of the fair value measurements to changes in unobservable inputs. The Company adopted this standard in the first quarter 2012. Adoption of ASU 2011-04 increased the footnote disclosure, but had no impact on the Company’s consolidated financial statements.

Transfers and Servicing (Topic 860)

In April 2011, the FASB issued ASU 2011-03, Transfers and Servicing: Reconsideration of Effective Control for Repurchase Agreements. In a typical repurchase agreement transaction, an entity transfers financial assets to the counterparty in exchange for cash with an agreement for the counterparty to return the same or equivalent financial assets for a fixed price in the future. Prior to this update, one of the factors in determining whether sale treatment could be used was whether the transferor maintained effective control of the transferred assets and, in order to do so, the transferor must have the ability to repurchase such assets. In connection with the issuance of ASU 2011-03, the FASB concluded that the assessment of effective control should focus on a transferor’s contractual rights and obligations with respect to transferred financial assets, rather than whether the transferor has the practical ability to perform in accordance with those rights or obligations. ASU 2011-03 removes the transferor’s ability criterion from consideration of effective control. The Company adopted this standard in the first quarter 2012. As the Company records repurchase agreements as secured borrowings and not sales, this update has no significant effect on the Company’s consolidated financial statements.

Financial Services – Investment Companies (Topic 946)

In June 2013, the FASB finalized ASU 2013-08 amending the scope, measurement and disclosure requirements under Topic 946 – Financial Services-Investment Companies. The Board decided not to address issues related to the applicability of investment company accounting for real estate entities and the measurement of real estate investments at this time. Further, as stated in ASC 946-10-15-3, the guidance in Topic 946 does not apply to real estate investment trusts, and thus has no effect on the Company’s consolidated financial statements.

Residential_MortgageBacked_Sec

Residential Mortgage-Backed Securities	12 Months Ended
Residential Mortgage-Backed Securities	Dec. 31, 2012
Residential Mortgage-Backed Securities	'
	3. Residential Mortgage-Backed Securities

	The Company classifies its Non-Agency RMBS as senior, senior interest-only, subordinated, subordinated interest-only, and Non-Agency RMBS transferred to consolidated VIEs. The Company also invests in Agency RMBS. Senior interests in Non-Agency RMBS are considered to be entitled to the first principal repayments in their pro-rata ownership interests at the reporting date. The total fair value of the Non-Agency RMBS that are held by the re-securitization trusts consolidated pursuant to ASC 810 was $3.3 billion and $3.3 billion at December 31, 2012 and 2011, respectively. See Note 8 of these consolidated financial statements for further discussion of consolidated VIEs.

	The following tables present the principal or notional value, total premium, total discount, amortized cost, fair value, gross unrealized gains, gross unrealized losses, and net unrealized gain (loss) related to the Company’s available-for-sale RMBS portfolio as of December 31, 2012 and 2011, by asset class.
	31-Dec-12
	(dollars in thousands)

				Principal or				Total				Total				Amortized				Fair Value				Gross				Gross				Net
				Notional				Premium				Discount				Cost								Unrealized				Unrealized				Unrealized
				Value																				Gains				Losses				Gain/(Loss)
	Non-Agency RMBS
		Senior		$	126			$	-			$	(54	)		$	72			$	88			$	16			$	-			$	16
		Senior interest-only			3,012,868				135,868				-				135,868				122,869				7,976				(20,975	)			(12,999	)
		Subordinated			1,057,821				-				(584,772	)			473,049				547,794				81,492				(6,747	)			74,745
		Subordinated interest-only			256,072				16,180				-				16,180				16,253				1,466				(1,393	)			73
		RMBS transferred to consolidated variable interest entities ("VIEs")			4,610,109				8,955				(2,088,125	)			2,437,048				3,274,204				837,353				(197	)			837,156
	Agency RMBS				1,756,580				51,502				-				1,720,595				1,806,697				86,419				(317	)			86,102
	Total			$	10,693,576			$	212,505			$	(2,672,951	)		$	4,782,812			$	5,767,905			$	1,014,722			$	(29,629	)		$	985,093


	31-Dec-11
	(dollars in thousands)

				Principal or				Total				Total				Amortized				Fair Value				Gross				Gross				Net
				Notional				Premium				Discount				Cost								Unrealized				Unrealized				Unrealized
				Value																				Gains				Losses				Gain/(Loss)
	Non-Agency RMBS
		Senior		$	1,115			$	-			$	(56	)		$	1,059			$	1,020			$	2			$	(41	)		$	(39	)
		Senior interest-only			3,734,452				199,288				-				199,288				188,679				11,308				(21,917	)			(10,609	)
		Subordinated			1,378,891				-				(724,739	)			654,152				606,895				30,997				(78,254	)			(47,257	)
		Subordinated interest-only			277,560				21,910				-				21,910				22,019				1,663				(1,554	)			109
		RMBS transferred to consolidated variable interest entities ("VIEs")			5,265,128				19,869				(2,382,995	)			2,902,002				3,270,332				420,505				(52,175	)			368,330
	Agency RMBS				3,018,347				90,403				(159	)			3,027,285				3,144,531				117,601				(355	)			117,246
	Total			$	13,675,493			$	331,470			$	(3,107,949	)		$	6,805,696			$	7,233,476			$	582,076			$	(154,296	)		$	427,780

	The table below presents changes in Accretable Yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.

			For the Year Ended
			31-Dec-12				31-Dec-11
			(dollars in thousands)
	Balance at beginning of period		$	2,342,462			$	2,521,723
	Purchases			86,847				139,347
	Accretion			(364,282	)			(392,779	)
	Reclassification (to) from non-accretable difference			64,017				127,978
	Sales			(21,657	)			(53,807	)
	Balance at end of period		$	2,107,387			$	2,342,462

	The table below presents the outstanding principal balance and related amortized cost for the years ended December 31, 2012 and 2011 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.

			For the Year Ended
			31-Dec-12				31-Dec-11
			(dollars in thousands)
	Outstanding principal balance:
	Beginning of period		$	5,245,184			$	5,264,486
	End of period		$	4,508,475			$	5,245,184

	Amortized cost:
	Beginning of period		$	2,649,303			$	2,761,672
	End of period		$	2,268,751			$	2,649,303

	The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2012 and 2011. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d).

31-Dec-12
(dollars in thousands)

			Unrealized Loss Position for Less than 12 Months												Unrealized Loss Position for 12 Months or More																Total
			Estimated				Unrealized				Number of Securities				Estimated				Unrealized				Number of Securities				Estimated FairValue				Unrealized				Number of Securities
			Fair Value				Losses				Number of Securities				Fair Value				Losses				Number of Securities				Estimated FairValue				Losses				Number of Securities
Non-Agency RMBS
	Senior		$	-			$	-				-			$	-			$	-				-			$	-			$	-				-
	Senior interest-only			17,764				(2,828	)			12				52,920				(18,147	)			26				70,684				(20,975	)			38
	Subordinated			-				-				-				54,774				(6,747	)			5				54,774				(6,747	)			5
	Subordinated interest-only			-				-				-				9,659				(1,393	)			1				9,659				(1,393	)			1
	RMBS transferred to consolidated VIEs			-				-				-				22,490				(197	)			1				22,490				(197	)			1
Agency RMBS				234				(76	)			2				993				(241	)			2				1,227				(317	)			4
Total			$	17,998			$	(2,904	)			14			$	140,836			$	(26,725	)			35			$	158,834			$	(29,629	)			49

31-Dec-11
(dollars in thousands)


			Unrealized Loss Position for Less than 12 Months												Unrealized Loss Position for 12 Months or More																	Total
			Estimated				Unrealized				Number of Securities				Estimated				Unrealized				Number of Securities				Estimated FairValue				Unrealized Losses				Number of Securities
			Fair Value				Losses				Number of Securities				Fair Value				Losses				Number of Securities				Estimated FairValue				Unrealized Losses				Number of Securities
Non-Agency RMBS
	Senior		$	-			$	-				-			$	127			$	(41	)			1			$	127			$	(41	)			1
	Senior interest-only			99,351				(18,756	)			26				17,647				(3,161	)			12				116,998				(21,917	)			38
	Subordinated			321,416				(52,824	)			33				111,167				(25,430	)			17				432,583				(78,254	)			50
	Subordinated interest-only			16,300				(1,554	)			2				-				-				-				16,300				(1,554	)			2
	RMBS transferred to consolidated VIEs			-				-				-				594,369				(52,175	)			18				594,369				(52,175	)			18
Agency RMBS				3,888				(355	)			2				-				-				-				3,888				(355	)			2
Total			$	440,955			$	(73,489	)			63			$	723,310			$	(80,807	)			48			$	1,164,265			$	(154,296	)			111

At December 31, 2012, the Company did not intend to sell any of its RMBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these RMBS before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred to date.

Gross unrealized losses on the Company’s Agency RMBS were $317 thousand and $355 thousand at December 31, 2012 and 2011, respectively. Given the credit quality inherent in Agency RMBS, the Company does not consider any of the current impairments on its Agency RMBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at December 31, 2012 and 2011 unrealized losses on its Agency RMBS were temporary.

Gross unrealized losses on the Company’s Non-Agency RMBS (including Non-Agency RMBS held by consolidated VIEs) were $29.3 million and $153.9 million at December 31, 2012 and 2011, respectively. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses are credit related, but rather are due to other factors. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral.

A summary of the OTTI included in earnings for the years ended December 31, 2012 and 2011 is presented below. Refer to Note 17 for additional details regarding prior year OTTI.

						For the Year Ended
		31-Dec-12				31-Dec-11				31-Dec-10
						(dollars in thousands)
Total other-than-temporary impairment losses		$	(47,632	)		$	(241,962	)		$	(40,833	)
Portion of loss recognized in other comprehensive income (loss)			(84,618	)			(115,143	)			(91,012	)
Net other-than-temporary credit impairment losses		$	(132,250	)		$	(357,105	)		$	(131,845	)

The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI.

							For the Year Ended
			31-Dec-12				31-Dec-11				31-Dec-10
							(dollars in thousands)
Cumulative credit loss beginning balance			$	452,060			$	237,746			$	128,582
Additions:
	Other-than-temporary impairments not previously recognized			98,324				268,795				55,772
	Reductions for securities sold during the period			(34,577	)			(1,300	)			(9,704	)
	Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments		33,926					88,310				76,073
	Reductions for increases in cash flows expected to be collected over the remaining life of the securities		(39,644		)			(141,491	)			(12,977	)
Cumulative credit impairment loss ending balance			$	510,089			$	452,060			$	237,746

Cash flows generated to determine net other-than-temporary credit impairment losses recognized in earnings are estimated using significant unobservable inputs. The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS are summarized as follows:

		For the Year Ended
		31-Dec-12	31-Dec-11

Loss Severity
	Weighted Average	52%	59%
	Range	39% - 63%	34% - 97%

60+ days delinquent
	Weighted Average	19%	30%
	Range	12% - 34%	0% - 68%

Credit Enhancement (1)
	Weighted Average	17%	10%
	Range	0% - 59%	0% - 91%

3 Month CPR
	Weighted Average	14%	15%
	Range	1% - 22%	0% - 83%

12 Month CPR
	Weighted Average	22%	16%
	Range	10% - 27%	4% - 56%

(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.

The following tables present a summary of unrealized gains and losses at December 31, 2012 and 2011. Interest-only RMBS included in the tables below represent the right to receive a specified proportion of the contractual interest cash flows of the underlying principal balance of specific securities. At December 31, 2012, interest-only RMBS had a net unrealized loss of $4.8 million and had an amortized cost of $166.0 million. At December 31, 2011, interest-only RMBS had a net unrealized loss of $5.7 million and had an amortized cost of $237.8 million. The fair value of IOs at December 31, 2012 and 2011 was $161.2 million, and $232.1 million, respectively. All changes in fair value of IOs are reflected in Net income (loss).

31-Dec-12
(dollars in thousands)

			Gross Unrealized Gain				Gross Unrealized Gain				Total Gross				Gross Unrealized Loss				Gross Unrealized Loss				Total Gross
			Included in Accumulated				Included in Accumulated				Unrealized Gain				Included in Accumulated				Included in Accumulated				Unrealized Loss
			Other Comprehensive				Deficit								Other Comprehensive				Deficit
			Income												Income
Non-Agency RMBS
	Senior		$	13			$	-			$	16			$	-			$	-			$	-
	Senior interest-only			-				7,977				7,976				-				(20,975	)			(20,975	)
	Subordinated			81,490				-				81,492				(6,747	)			-				(6,747	)
	Subordinated interest-only			-				1,467				1,466				-				(1,393	)			(1,393	)
	RMBS transferred to consolidated VIEs			829,315				8,045				837,353				(197	)			-				(197	)
Agency RMBS				86,062				357				86,419				-				(317	)			(317	)
Total			$	996,880			$	17,846			$	1,014,722			$	(6,944	)		$	(22,685	)		$	(29,629	)

31-Dec-11
(dollars in thousands)

			Gross Unrealized Gain				Gross Unrealized Gain				Total Gross				Gross Unrealized Loss				Gross Unrealized Loss				Total Gross
			Included in Accumulated				Included in Accumulated				Unrealized Gain				Included in Accumulated				Included in				Unrealized Loss
			Other Comprehensive				Deficit								Other Comprehensive				Accumulated
			Income												Income				Deficit
Non-Agency RMBS
	Senior		$	2			$	-			$	2			$	(41	)		$	-			$	(41	)
	Senior interest-only			-				11,308				11,308				-				(21,917	)			(21,917	)
	Subordinated			30,997				-				30,997				(78,254	)			-				(78,254	)
	Subordinated interest-only			-				1,663				1,663				-				(1,554	)			(1,554	)
	RMBS transferred to consolidated VIEs			415,688				4,817				420,505				(52,175	)			-				(52,175	)
Agency RMBS				117,236				365				117,601				-				(355	)			(355	)
Total			$	563,923			$	18,153			$	582,076			$	(130,470	)		$	(23,826	)		$	(154,296	)

Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The portfolio is most heavily weighted to contain Non-Agency RMBS with credit risk. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile.

The following tables provide a summary of the Company’s RMBS portfolio at December 31, 2012 and 2011.

		31-Dec-12																				31-Dec-11

		Principal or Notional Value at Period-End				Weighted Average Amortized Cost Basis				Weighted Average Fair Value				Weighted Average Coupon								Principal or Notional Value at Period-End				Weighted Average Amortized Cost Basis				Weighted Average Fair Value				Weighted Average Coupon			Weighted Average Yield at Period-End
		(dollars in thousands)																Weighted Average Yield at Period-End				(dollars in thousands)															-1
																		-1
Non-Agency Mortgage-Backed Securities
Senior		$	126			$	57.02			$	67				0	%			11.9	%		$	1,115			$	95.13			$	91.55				1.02	%		2.95	%
Senior, interest only		$	3,012,868			$	4.51			$	4.08				1.76	%			10.36	%		$	3,734,452			$	5.34			$	5.05				1.96	%		13.28	%
Subordinated		$	1,057,821			$	44.72			$	51.79				3.18	%			11.07	%		$	1,378,891			$	47.44			$	44.01				3.44	%		9.57	%
Subordinated, interest only		$	256,072			$	6.32			$	6.35				2.25	%			8.9	%		$	277,560			$	7.89			$	7.93				2.94	%		9.93	%
RMBS transferred to consolidated variable interest entities		$	4,610,109			$	53.96			$	72.5				4.88	%			15.44	%		$	5,265,128			$	55.14			$	62.11				5.32	%		14.56	%
Agency Mortgage-Backed Securities		$	1,756,580			$	103.09			$	108.24				4.65	%			3.59	%		$	3,018,347			$	103.07			$	107.06				4.66	%		3.83	%

(1) Bond Equivalent Yield at period end.

The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at December 31, 2012 and 2011.

	31-Dec-12	31-Dec-11
AAA	0.01%	0.53%
AA	0.46%	0.14%
A	0.00%	0.45%
BBB	0.00%	1.54%
BB	1.41%	0.00%
B	1.19%	0.43%
Below B or not rated	96.93%	96.91%
Total	100.00%	100.00%

Actual maturities of RMBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s RMBS are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s RMBS at December 31, 2012 and 2011 according to their estimated weighted-average life classifications. The weighted-average lives of the RMBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency RMBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.

31-Dec-12
(dollars in thousands)

			Weighted Average Life

			Less than one year				Greater than one				Greater than five				Greater than ten				Total
							year and less than				years and less				years
							five years				than ten years
Fair value
	Non-Agency RMBS
	Senior		$	-			$	-			$	88			$	-			$	88
	Senior interest-only			358				47,205				66,927				8,379				122,869
	Subordinated			4,092				23,948				359,310				160,444				547,794
	Subordinated interest-only			-				-				9,658				6,595				16,253
	RMBS transferred to consolidated VIEs			12,118				312,690				2,055,568				893,828				3,274,204
	Agency RMBS			146				1,802,720				3,831				-				1,806,697
Total fair value			$	16,714			$	2,186,563			$	2,495,382			$	1,069,246			$	5,767,905
Amortized cost
	Non-Agency RMBS
	Senior		$	-			$	-			$	72			$	-			$	72
	Senior interest-only			657				58,037				70,044				7,130				135,868
	Subordinated			2,649				20,593				318,422				131,385				473,049
	Subordinated interest-only			-				-				11,051				5,129				16,180
	RMBS transferred to consolidated VIEs			11,184				248,699				1,493,647				683,518				2,437,048
	Agency RMBS			157				1,716,964				3,474				-				1,720,595
Total amortized cost			$	14,647			$	2,044,293			$	1,896,710			$	827,162			$	4,782,812

31-Dec-11
(dollars in thousands)

			Weighted Average Life

			Less than one year				Greater than one				Greater than five				Greater than ten				Total
							year and less than				years and less				years
							five years				than ten years
Fair value
	Non-Agency RMBS
	Senior		$	892			$	-			$	128			$	-			$	1,020
	Senior interest-only			-				85,633				69,204				33,842				188,679
	Subordinated			6,530				101,984				259,549				238,832				606,895
	Subordinated interest-only			-				-				1,812				20,207				22,019
	RMBS transferred to consolidated VIEs			25,375				338,616				2,119,030				787,311				3,270,332
	Agency RMBS			17,932				1,735,106				824,645				566,848				3,144,531
Total fair value			$	50,729			$	2,261,339			$	3,274,368			$	1,647,040			$	7,233,476
Amortized cost
	Non-Agency RMBS
	Senior		$	891			$	-			$	168			$	-			$	1,059
	Senior interest-only			-				95,974				69,953				33,361				199,288
	Subordinated			5,616				98,657				300,489				249,390				654,152
	Subordinated interest-only			-				-				1,946				19,964				21,910
	RMBS transferred to consolidated VIEs			32,806				296,144				1,827,000				746,052				2,902,002
	Agency RMBS			17,610				1,663,917				798,632				547,126				3,027,285
Total amortized cost			$	56,923			$	2,154,692			$	2,998,188			$	1,595,893			$	6,805,696

The Non-Agency RMBS portfolio is subject to credit risk. The Company seeks to mitigate credit risk through its asset selection process. The Non-Agency RMBS portfolio is primarily collateralized by what the Company classifies as Alt-A first lien mortgages. The Company categorizes collateral as Alt-A regardless of whether the loans were originally described as “prime” if the behavior of the collateral when the Company purchased the security more typically resembles Alt-A. The Company defines Alt-A collateral characteristics to be evidenced by the 60+ day delinquency bucket of the pool being greater than 5% and the weighted average FICO scores at the time of origination as greater than 650. At December 31, 2012, 99.5% of the Non-Agency RMBS collateral was Alt-A. At December 31, 2011, 97.4% of the Non-Agency RMBS collateral was Alt-A.

The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2012 and 2011.

	31-Dec-12			31-Dec-11
Weighted average maturity (years)		24.8			25.7
Weighted average amortized loan to value (1)		71.60%			71.50%
Weighted average FICO (2)		717.3			718.4
Weighted average loan balance (in thousands)		$453.10			$469.00
Weighted average percentage owner occupied		85.10%			85.30%
Weighted average percentage single family residence		65.50%			65.60%
Weighted average current credit enhancement		3.10%			4.50%
Weighted average geographic concentration of top five states	CA	36.70%		CA	38.10%
	FL	8.70%		FL	8.50%
	NY	6.40%		NY	6.10%
	VA	2.40%		NJ	2.70%
	NJ	2.80%		VA	2.40%

(1) Value represents appraised value of the collateral at the time of loan origination.
(2) FICO as determined at the time of loan origination.

The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2012 and 2011.

Origination Year	31-Dec-12	31-Dec-11
2000	0.20%	0.00%
2001	0.20%	0.20%
2002	0.00%	0.00%
2003	0.40%	0.90%
2004	0.60%	1.30%
2005	14.30%	13.80%
2006	34.60%	31.80%
2007	46.70%	48.70%
2008	3.00%	3.30%
Total	100.00%	100.00%

During the year ended December 31, 2012, the Company sold RMBS with a carrying value of $858.2 million for realized gains of $85.2 million. During the year ended December 31, 2011, the Company sold RMBS with a carrying value of $2.6 billion for realized gains of $54.4 million.

Securitized_Loans_Held_for_Inv

Securitized Loans Held for Investment	12 Months Ended
Securitized Loans Held for Investment	Dec. 31, 2012
Securitized Loans Held for Investment	'
	4. Securitized Loans Held for Investment

	The Company is considered to be the primary beneficiary of VIEs formed for the purpose of securitizing whole mortgage loans. Refer to Note 8 for additional details regarding the Company’s involvement with VIEs.

	The securitized loans held for investment are carried at their principal balance outstanding, plus unamortized premiums, less unaccreted discounts and an allowance for loan losses. During the year ended December 31, 2012, the Company consolidated the CSMC 2012-CIM1, CSMC 2012-CIM2 and CSMC 2012-CIM3 Trusts (the “ CSMC Trusts”). The CSMC Trusts are securitizations collateralized by high quality, jumbo, prime, residential mortgage loans. The Company transferred $1.5 billion in principal value to the CSMC Trusts that was recorded as a secured borrowing pursuant to ASC 860. In these transactions, the Company financed $1.4 Billion of AAA-rated, AA-rated, and A-rated fixed rate bonds by selling the bonds to third party investors for net proceeds of $1.4 billion.

	The following table provides a summary of the changes in the carrying value of securitized loans held for investment at December 31, 2012 and 2011:

			31-Dec-12				31-Dec-11
			(dollars in thousands)

	Balance, beginning of period		$	256,632			$	349,112
	Purchases			1,531,014				-
	Principal paydowns			(477,555	)			(85,526	)
	Net periodic amortization (accretion)			(9,592	)			(1,663	)
	Change to loan loss provision			(368	)			(5,291	)
	Balance, end of period		$	1,300,131			$	256,632

	The following table represents the Company’s securitized residential mortgage loans classified as held for investment at December 31, 2012 and 2011:

			31-Dec-12				31-Dec-11
			(dollars in thousands)

	Securitized loans, at amortized cost		$	1,311,755			$	270,570
	Less: allowance for loan losses			11,624				13,938
	Securitized loans held for investment		$	1,300,131			$	256,632

	The securitized loan portfolio is collateralized by prime, jumbo, first lien residential mortgages of which 32.6% were originated during 2012, 44.1% were originated during 2011, 9.3% during 2010, and the remaining 14.0% of the loans were originated prior to 2010. A summary of key characteristics of these loans follows.

		31-Dec-12			31-Dec-11
	Number of loans		1,618			392
	Weighted average maturity (years)		28.3			25.8
	Weighted average loan to value (1)		71.20%			75.50%
	Weighted average FICO (2)		768			752
	Weighted average loan balance (in thousands)		$794.10			$684.00
	Weighted average percentage owner occupied		94.60%			91.10%
	Weighted average percentage single family residence		70.60%			58.10%
	Weighted average geographic concentration of top five states	CA	38.10%		CA	36.00%
		VA	6.30%		FL	6.10%
		NY	6.30%		AZ	5.80%
		WA	5.20%		NJ	5.40%
		NJ	4.60%		IL	5.30%

	(1) Value represents appraised value of the collateral at the time of loan origination.
	(2) FICO as determined at the time of loan origination.

	The following table summarizes the changes in the allowance for loan losses for the securitized mortgage loan portfolio for the years ended December 31, 2012, 2011 and 2010:

						For the Year Ended

			31-Dec-12				31-Dec-11			31-Dec-10
			(dollars in thousands)

	Balance, beginning of period		$	13,938			$	11,006		$	4,551
	Provision for loan losses			368				5,291			7,109
	Charge-offs			(2,682	)			(2,359	)		(654	)
	Balance, end of period		$	11,624			$	13,938		$	11,006

	The Company has established an allowance for loan losses related to securitized loans that is composed of a general and specific reserve. The balance in the allowance for loan losses related to the general reserve at December 31, 2012, 2011 and 2010 was $5.0 million, $6.3 million, and $6.1 million, respectively. The balance in the allowance for loan losses related to the specific reserve at December 31, 2012, 2011 and 2010 was $6.6 million, $7.6 million, and $4.9 million, respectively.

	The Company’s overall provision for loan losses is described in Note 2(g). The Company’s general reserve is based on historical loss rates for pools of loans with similar credit characteristics, adjusted for current trends and market conditions, including current trends in delinquencies and severities. The Company has established a specific reserve that reflects consideration of loans more than 60 days delinquent, loans in foreclosure, borrowers that have declared bankruptcy, and real estate owned. The loan loss provision related to these loans is measured as the difference between the unpaid principal balance and the estimated fair value of the property securing the mortgage, less estimated costs to sell. The specific reserve also reflects consideration of concessions granted to borrowers by the servicer in the form of modifications (i.e., reductions). Loan loss provisions related to these modifications are based on the contractual principal and interest payments, post-modification, discounted at the loan’s original effective interest rate.

	The total unpaid principal balance of impaired loans for which the Company established a specific reserve was $29.1 million, $32.9 million and $27.2 million at December 31, 2012, 2011 and 2010, respectively. Interest income on impaired loans is not significant. The Company’s recorded investment in impaired loans for which there is a related allowance for credit losses at December 31, 2012, 2011 and 2010 was $21.8 million, $14.3 million and $22.3 million, respectively. The total unpaid principal balance of non-impaired loans for which the Company established a general reserve was $1.3 billion, $235.2 million and $328.8 million at December 31, 2012, 2011 and 2010, respectively. The Company’s recorded investment in loans that are not impaired for which there is a related general reserve for credit losses at December 31, 2012, 2011 and 2010 was $1.3 billion, $228.9 million and $322.7 million, respectively.

The following table summarizes the outstanding principal balance of loans 30 days delinquent and greater as reported by the servicer at December 31, 2012 and 2011.

	30 Days	60 Days	90+ Days	Bankruptcy	Foreclosure	REO	Total
	Delinquent	Delinquent	Delinquent	Bankruptcy	Foreclosure	REO	Total
(dollars in thousands)
31-Dec-12	$3,110	$1,186	$4,045	$0	$4,247	$1,390	$13,978
31-Dec-11	$1,342	$1,828	$2,338	$1,659	$3,626	$5,201	$15,994

With the exception of its ability to approve loan modifications solely as it relates to CSMC 2012-CIM1, CSMC 2012-CIM2 and CSMC 2012-CIM3 as further described in Note 2(g), the Company does not service or modify loans held for investment. The trustee and servicer of the respective securitization are responsible for servicing and modifying these loans. The Company is required to make certain assumptions in accounting for loans held for investment due to the limitation of information available to the Company. The following table presents the loans that were modified by the servicer during the year ended December 31, 2012 and 2011.

	Number of Loans	Unpaid Principal	Unpaid Principal	Amortized Cost of	Amortized Cost of	Amortized Cost of Modified
	Modified During	Balance of Modified	Balance of Modified	Modified Loans	Modified Loans For Which	Loans For Which There is
	Period	Loans (Pre-	Loans (Post-		There is an Allowance for	No Allowance for Loan
		modification)	modification)		Loan Losses	Losses
(dollars in thousands)
Year Ended
31-Dec-12	9	$5,163	$5,312	$5,256	$5,256	$0
31-Dec-11	7	$5,496	$5,867	$5,931	$5,931	$0

Loans are modified by the servicer as a method of loss mitigation. Based on the information available, during the year ended December 31, 2012, the Company determined that all loans modified by the servicer were considered troubled debt restructurings, as defined under GAAP. A troubled debt restructuring is generally any modification of a loan to a borrower that is experiencing financial difficulties, where a lender agrees to terms that are more favorable to the borrower than are otherwise available in the current market. All loan modifications during the years ended December 31, 2012 and 2011 included a reduction of the stated interest rates. Loans modified by the servicer have been individually assessed for impairment and measurement of impairment is based on the excess of the recorded investment in the loan over the present value of the expected cash flows, post modification, discounted at the loan’s effective interest rate at inception. In the absence of additional loan modifications by the servicer in future periods that are considered to be TDR’s, the $4.8 million specific reserve related to TDR’s as of December 31, 2012 will be recognized in net income in future periods by way of a decrease in the provision for loan losses.

As of December 31, 2012, there were no loans that were modified in the past twelve months and delinquent on scheduled payments.

Fair_Value_Measurements

Fair Value Measurements	12 Months Ended
Fair Value Measurements	Dec. 31, 2012
Fair Value Measurements	'
	5. Fair Value Measurements

	The Company follows fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows:

	Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets.

	Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

	Level 3 – inputs to the valuation methodology are unobservable and significant to fair value.

	Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. For the Company’s investments in Non-Agency RMBS categorized within Level 3 of the fair value hierarchy, the significant unobservable inputs include the discount rates, assumptions relating to prepayments, default rates and loss severities. Significant increases (decreases) in any of the discount rates, default rates or loss severities in isolation would result in a significantly lower (higher) fair value measurement. The impact of changes in prepayment speeds would have differing impacts on fair value, depending on the seniority of the investment. Generally, a change in the default assumption is accompanied by directionally similar changes in the assumptions used for the loss severity and the prepayment speed.

	Any changes to the valuation methodology are reviewed by management to ensure the changes are appropriate. As markets and products evolve and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The methodology utilized by the Company for the periods presented is unchanged. The methods used to produce a fair value calculation may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced.

	During times of market dislocation, as has been experienced for some time and continues to exist, the observability of prices and inputs can be difficult for certain Non-Agency RMBS. If third party pricing services are unable to provide a price for an asset, or if the price provided by them is deemed unreliable by the Company, then the asset will be valued at its fair value as determined by the Company without validation to third-party pricing. In addition, validating third party pricing for the Company’s investments may be more subjective as fewer participants may be willing to provide this service to the Company. Illiquid investments typically experience greater price volatility as an active market does not exist. Observability of prices and inputs can vary significantly from period to period and may cause instruments to change classifications within the three level hierarchy.

	A description of the methodologies utilized by the Company to estimate the fair value of its financial instruments by instrument class follows:

	Short-term Instruments

	The carrying value of cash and cash equivalents, accrued interest receivable, dividends payable, and accrued interest payable are considered to be a reasonable estimate of fair value due to the short term nature of these financial instruments.

	Agency and Non-Agency RMBS

	Generally, the Company determines the fair value of its investment securities utilizing an internal pricing model that incorporates such factors as coupon, prepayment speeds, weighted average life, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, expected losses, expected default severity, credit enhancement, and other pertinent factors. Management reviews the fair values generated by the model to determine whether prices are reflective of the current market. Management indirectly corroborates its estimates of the fair value using pricing models by comparing its results to independent prices provided by dealers in the securities and/or third party pricing services. Certain very liquid asset classes, such as Agency fixed-rate pass-throughs may be priced using independent sources such as quoted prices for To-Be-Announced (“TBA”) securities.

	The Agency RMBS market is considered to be an active market such that participants transact with sufficient frequency and volume to provide transparent pricing information on an ongoing basis. The liquidity of the Agency RMBS market and the similarity of the Company’s securities to those actively traded enable the Company to observe quoted prices in the market and utilize those prices as a basis for formulating fair value measurements. Consequently, the Company has classified Agency RMBS as Level 2 inputs in the fair value hierarchy.

	The Company’s fair value estimation process for Non-Agency RMBS utilizes inputs other than quoted prices that are observed in the market. The Company’s estimate of prepayment, default and severity curves all involve Management judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting Non-Agency fair value estimates Level 3 inputs in the fair value hierarchy.

	Interest Rate Swaps

	The Company utilizes dealer quotes to determine the fair values of its interest rate swaps. The Company compares the dealer quotations received to its own estimate of fair value to evaluate for reasonableness. The dealer quotes incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps are modeled by the Company by incorporating such factors as the term to maturity, Treasury curve, LIBOR rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified Interest Rate Swaps as Level 2 inputs in the fair value hierarchy.

	During the fourth quarter of 2011, the Company changed its discount rate assumption used to determine the fair value of interest rate swaps from LIBOR to the overnight index swap rate in response to changes in market valuation practices for interest rate swaps that are collateralized.

	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2012 and 2011 is presented below.

	31-Dec-12
				Level 1				Level 2				Level 3
				(dollars in thousands)
	Assets:
	Non-Agency RMBS
		Senior		$	-			$	-			$	88
		Senior interest-only			-				-				122,869
		Subordinated			-				-				547,794
		Subordinated interest-only			-				-				16,253
		RMBS transferred to consolidated VIEs			-				-				3,274,204
	Agency mortgage-backed securities				-				1,806,697				-

	Liabilities:
	Interest rate swaps				-				53,939				-
	Total			$	-			$	1,860,636			$	3,961,208

	31-Dec-11
				Level 1				Level 2				Level 3
				(dollars in thousands)
	Assets:
	Non-Agency RMBS
		Senior		$	-			$	-			$	1,020
		Senior interest-only			-				-				188,679
		Subordinated			-				-				606,895
		Subordinated interest-only			-				-				22,019
	RMBS transferred to consolidated VIEs			-				-				3,270,332
Agency mortgage-backed securities				-				3,144,531				-

Liabilities:
Interest rate swaps				-				44,467				-
Total			$	-			$	3,188,998			$	4,088,945

The table below provides a summary of the changes in the fair value of securities classified as Level 3.

Fair Value Reconciliation, Level 3
(dollars in thousands)

		For the Year Ended

		31-Dec-12				31-Dec-11
Non-Agency RMBS
Beginning balance Level 3 assets		$	4,088,945			$	5,529,109
Transfers in to Level 3 assets			-				-
Transfers out of Level 3 assets			-				-
Purchases			122,509				446,207
Principal payments			(516,370	)			(695,277	)
Sales			(328,261	)			(631,642	)
Accretion of purchase discounts			98,804				81,224
Gains (losses) included in net income
Other than temporary credit impairment losses			(132,250	)			(357,105	)
Realized gains (losses) on sales			48,435				445
Net unrealized gains (losses) on interest-only RMBS			804				(14,717	)
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period			578,592				(269,299	)
Ending balance Level 3 assets		$	3,961,208			$	4,088,945

There were no transfers to or from Level 3 for the years ended December 31, 2012 and 2011.

Sensitivity of Significant Inputs

The significant unobservable inputs used in the fair value measurement of the Company’s non-agency RMBS are the weighted average discount rates, prepayment speed (CPR), cumulative default rate, and the loss severity.

Prepayment speeds, as reflected by the Constant Prepayment Rate, or CPR, vary according to interest rates, the type of investment, conditions in financial markets, and other factors, none of which can be predicted with any certainty. In general, when interest rates rise, it is relatively less attractive for borrowers to refinance their mortgage loans, and as a result, prepayment speeds tend to decrease. When interest rates fall, prepayment speeds tend to increase. For RMBS investments purchased at a premium, as prepayment speeds increase, the amount of income we earn decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment speeds result in increased income and can extend the period over which we amortize the purchase premium. For RMBS investments purchased at a discount, as prepayment speeds increase, the amount of income we earn increases from the acceleration of the accretion of the discount into interest income. Conversely, decreases in prepayment speeds result in decreased income as the accretion of the purchase discount into interest income occurs over a longer period.

Cumulative default rates represent an annualized rate of default on a group of mortgages. The constant default rate represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the home being past 60-day and 90-day notices and in the foreclosure process. When default rates increase, expected cash flows on the underlying collateral decreases. When default rates decrease, expected cash flows on the underlying collateral increases.

Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cashflows. A decrease in loss severity results in an increase in expected future cashflows

The discount rate refers to the interest rate used in discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the discounted cash flows are reduced.

A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS as of December 31, 2012 follows:

		31-Dec-12

		Significant Inputs
		Weighted	Prepayment	Cumulative	Loss Severity
		Average Discount	Speed (CPR)	Default Rate
		Rate
			Range
Non-Agency RMBS
	Senior	7.50%	11% - 11%	0% - 3%	50% - 58%
	Senior interest-only	13.90%	1% - 25%	0% - 25%	50% - 85%
	Subordinated	25.90%	1% - 18%	0% - 21%	50% - 85%
	Subordinated interest-only	13.30%	4% - 11%	0% - 21%	50% - 68%
	RMBS transferred to consolidated VIEs	5.80%	1% - 15%	0% - 36%	50% - 85%

All of the significant inputs listed have some degree of market observability, based on the Company’s knowledge of the market, information available to market participants, and use of common market data sources. Collateral default and loss severity projections are in the form of “curves” that are updated quarterly to reflect the Company’s collateral cash flow projections. Methods used to develop these projections conform to industry conventions. The Company uses assumptions it considers its best estimate of future cash flows for each respective security.

The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change.

The prepayment speed specifies the percentage of the collateral balance that is expected to pay off at each point in the future. The prepayment speed is based on factors such as collateral FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis and is scaled up or down to reflect recent collateral-specific prepayment experience as obtained from remittance reports and market data services.

Default vectors are determined from the current “pipeline” of loans that are more than 30 days delinquent, in foreclosure, bankruptcy, or are real estate owned (“REO”). These delinquent loans determine the first 30 months of the default curve. Beyond month 30, the default curve transitions to a value that is reflective of a portion of the current delinquency pipeline.

The curve generated to reflect the Company’s expected loss severity is based on collateral-specific experience with consideration given to other mitigating collateral characteristics. Characteristics such as seasoning are taken into consideration because severities tend to initially increase on newly originated securities, before beginning to decline as the collateral ages and eventually stabilizes. Collateral characteristics such as loan size, loan-to-value, and geographic location of collateral also effect loss severity.

Securitized Loans Held for Investment

The Company carries securitized loans held for investment at principal value, plus unamortized premiums, less unaccreted discounts and allowance for loan losses. The Company estimates the fair value of its securitized loans held for investment by considering the loan characteristics, including the credit characteristics of the borrower, purpose of the loan, use of the collateral securing the loan, and management’s expectations of general economic conditions in the sector and greater economy.

Repurchase Agreements

Repurchase agreements are collateralized financing transactions utilized by the Company to acquire investment securities. Due to the short term nature of these financial instruments, the Company estimates and records the fair value of these repurchase agreements using the contractual obligation plus accrued interest payable at maturity.

Securitized Debt, Non-Agency RMBS Transferred to Consolidated VIEs and Securitized Debt, Loans Held for Investment

The Company records securitized debt for certificates or notes financed without recourse to the Company in securitization or re-securitization transactions treated as secured borrowings pursuant to ASC 860. The Company carries securitized debt at the principal balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. The premiums or discounts associated with the financing of the notes or certificates are amortized over the contractual life of the instrument using the interest method. The Company estimates the fair value of securitized debt by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and management’s expectations of general economic conditions in the sector and other economic factors.

The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments at December 31, 2012 and 2011. The level in the fair value hierarchy in the table below refers to December 31, 2012.

					31-Dec-12								31-Dec-11
		Level in Fair			Carrying				Fair Value				Carrying			Fair Value
		Value			Amount								Amount
		Hierarchy
		(dollars in thousands)
Non-Agency RMBS		3			$	3,961,208			$	3,961,208			$	4,088,945		$	4,088,945
Agency RMBS		2				1,806,697				1,806,697				3,144,531			3,144,531
Securitized loans held for investment		3				1,300,131				1,320,696				256,632			237,977
Repurchase agreements		2				(1,528,025	)			(1,531,511	)			(2,672,989	)		(2,677,402	)
Securitized debt, collateralized by Non-Agency RMBS		3				(1,336,261	)			(1,334,551	)			(1,630,276	)		(1,546,237	)
Securitized debt, collateralized by loans held for investment		3				(1,169,710	)			(1,194,747	)			(212,778	)		(222,921	)
Interest rate swaps		2				(53,939	)			(53,939	)			(44,467	)		(44,467	)

Repurchase_Agreements

Repurchase Agreements	12 Months Ended
Repurchase Agreements	Dec. 31, 2012
Repurchase Agreements	'
	6. Repurchase Agreements

	The Company had outstanding $1.5 billion and $2.7 billion of repurchase agreements with weighted average borrowing rates of 0.52% and 0.35% and weighted average remaining maturities of 56 days and 48 days as of December 31, 2012 and 2011, respectively. At December 31, 2012 and 2011, Agency RMBS pledged as collateral under these repurchase agreements had an estimated fair value of $1.6 billion and $2.9 billion, respectively. The average daily balances of the Company’s repurchase agreements for the year ended December 31, 2012 and 2011 were $2.1 billion and $3.8 billion, respectively. The interest rates of these repurchase agreements are generally indexed to the one-month or the three-month LIBOR rate and re-price accordingly.

	At December 31, 2012 and 2011, the repurchase agreements collateralized by Agency RMBS had the following remaining maturities.

		31-Dec-12		31-Dec-11
		(dollars in thousands)
	Overnight	$	-	$	-
	1-29 days		732,809		1,368,945
	30 to 59 days		325,915		836,007
	60 to 89 days		-		-
	90 to 119 days		211,137		171,836
	Greater than or equal to 120 days		258,164		296,201
	Total	$	1,528,025	$	2,672,989

	At December 31, 2012 and 2011, the Company did not have an amount at risk under its repurchase agreements greater than 10% of its equity with any counterparty.

Securitized_Debt

Securitized Debt	12 Months Ended
Securitized Debt	Dec. 31, 2012
Securitized Debt	'
	7. Securitized Debt

	All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as securitized loans held for investment or Non-Agency RMBS transferred to consolidated VIEs and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition.

	At December 31, 2012 the Company’s securitized debt collateralized by residential mortgage loans had a principal balance of $1.2 billion. The debt matures between the years 2023 and 2042. At December 31, 2012 the debt carried a weighted average cost of financing equal to 3.37%. At December 31, 2011, the Company’s securitized debt collateralized by residential mortgage loans had a principal balance of $222.9 million. At December 31, 2011, the debt carried a weighted average cost of financing equal to 5.48%.

	At December 31, 2012 the Company’s securitized debt collateralized by Non-Agency RMBS had a principal balance of $1.4 billion. The debt matures between the years 2035 and 2047. At December 31, 2012 the debt carried a weighted average cost of financing equal to 4.41%. At December 31, 2011, the Company’s securitized debt collateralized by Non-Agency RMBS had a principal balance of $1.7 billion. At December 31, 2011, the debt carried a weighted average cost of financing equal to 5.09%.

	The carrying value of securitized debt is based on its amortized cost, net of premiums or discounts related to sales of senior certificates to third parties. The following table presents the estimated principal repayment schedule of the securitized debt at December 31, 2012 and 2011, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.

		31-Dec-12		31-Dec-11
		(dollars in thousands)
	Within One Year	$	658,423	$	488,886
	One to Three Years		793,150		598,921
	Three to Five Years		430,993		276,965
	Greater Than or Equal to Five Years		555,717		404,386
	Total	$	2,438,283	$	1,769,158

	Maturities of the Company’s securitized debt are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments and/or loan losses are experienced. See Notes 3 and 4 for a more detailed discussion of the securities and loans collateralizing the securitized debt.

Consolidated_Securitization_Ve

Consolidated Securitization Vehicles and Other Variable Interest Entities	12 Months Ended
	Dec. 31, 2012
Consolidated Securitization Vehicles and Other Variable Interest Entities	'
	8. Consolidated Securitization Vehicles and Other Variable Interest Entities

	Since its inception, the Company has created VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining permanent, non-recourse term financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary.

	Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership of substantially all subordinate interests provided the Company with the obligation to absorb losses and/or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company is considered to have the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance (“power”) or the Company was determined to have power in connection with its involvement with the purpose and design of the VIE. Two trusts formed prior to January 1, 2010 that were evaluated by the Company did not meet the requirements for consolidation due to the Company’s inability to control certain activities of the VIEs.

	As of December 31, 2012, the Company’s Consolidated Statements of Financial Condition includes ten consolidated VIE’s with $4.6 billion of assets and $2.5 billion of liabilities. As of December 31, 2011, the Company’s Consolidated Statements of Financial Condition includes seven consolidated VIE’s with $3.6 billion of assets and $1.9 billion of liabilities.

	The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Statements of Financial Condition, is restricted by the structural provisions of these entities, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Statements of Financial Condition, are non-recourse to the Company, and can generally only be satisfied from each securitization vehicle’s respective asset pool.

	The Company is not obligated to provide, nor has it provided, any financial support to these consolidated securitization vehicles.

	VIEs for Which the Company is the Primary Beneficiary

	The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these re-securitizations and in some cases the Company may hold interests in additional tranches. The result of consolidation at December 31, 2012 is the inclusion of $3.3 billion of Non-Agency RMBS at fair value representing the underlying securities of the trusts, the inclusion of $1.3 billion of securitized loans held for investment, the recognition of $1.3 billion of securitized debt associated with Non-Agency RMBS transferred to consolidated VIEs and $1.2 billion of securitized debt associated with loans held for investment. In addition, at December 31, 2012 the Company recognized $24.1 million and $8.4 million of accrued interest receivable and accrued interest payable, respectively, of the securitizations.

	The trusts are structured as pass through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a certificate holder of the bonds it has retained. There have been no recent changes to the nature of risks associated with the Company’s involvement with VIEs.

	The securitization entities are comprised of senior classes of RMBS and jumbo, prime, residential mortgage loans. See Notes 3 and 4 for a discussion of the characteristics of the securities and loans in the Company’s portfolio.

	The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2012 and 2011.

			31-Dec-12				31-Dec-11
			(dollars in thousands)
	Assets
	Non-Agency RMBS transferred to consolidated VIEs		$	3,274,204			$	3,270,332
	Securitized loans held for investment			1,300,131				256,632
	Accrued interest receivable			24,082				26,616
	Liabilities
	Securitized debt, collateralized by Non-Agency RMBS		$	1,336,261			$	1,630,276
	Securitized debt, collateralized by loans held for investment			1,169,710				212,778
	Accrued interest payable			8,358				8,130

	Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations and Comprehensive Income (Loss) is presented in the table below.

							For the Year Ended
			31-Dec-12				31-Dec-11				31-Dec-10
			(dollars in thousands)
	Interest income, Assets of consolidated VIEs		$	417,351			$	450,996			$	472,740
	Interest expense, Non-recourse liabilities of VIEs			(115,880	)			(122,917	)			(138,699	)
	Net interest income		$	301,471			$	328,079			$	334,041

	Total other-than-temporary impairment losses		$	(7,619	)		$	(113,047	)		$	(19,583	)
	Portion of loss recognized in other comprehensive income (loss)			(76,699	)		$	(145,512	)		$	(68,407	)
	Net other-than-temporary credit impairment losses		$	(84,318	)		$	(258,559	)		$	(87,990	)

	The amounts recorded on the Consolidated Statements of Cash Flows related to consolidated VIEs is presented in the table below for the periods presented.


							For the Year Ended
			31-Dec-12				31-Dec-11				31-Dec-10
			(dollars in thousands)
	Amortization of deferred financing costs			8,546			$	1,733				1,499
	Accretion (amortization) of securitized debt discounts/premiums, net			6,985				12,551				16,655
	Payment of deferred financing costs			(9,488	)			-				(5,039	)
	Principal payments, Non-Agency RMBS transferred to consolidated VIE's			505,779				668,924				619,795
	Principal payments, Securitized loans held for investment			477,555				85,526				113,330
	Proceeds from securitized debt borrowings, collateralized by loans held for investment			1,426,983				-				-
	Payments on securitized debt borrowings, collateralized by loans held for investment			(470,788	)			(80,181	)			(106,186	)
	Proceeds from securitized debt borrowings, collateralized by Non-Agency RMBS			181,201				310,972				1,295,657
	Payments on securitized debt borrowings, collateralized by Non-Agency RMBS			(481,464	)			(645,603	)			(574,399	)
	Decrease (increase) in accrued interest receivable			2,534				(4,832	)			27,986
	Increase (decrease) in accrued interest payable			228				(1,836	)			8,032
Net cash provided by/(used in) consolidated VIEs		$	1,648,071			$	347,254			$	1,397,330

VIEs for Which the Company is Not the Primary Beneficiary

The Company has interests in the following VIEs in addition to the RMBS described in Note 3.

The Company’s involvement with VIEs for which it is not considered the primary beneficiary generally is in the form of owning securities issued by the trusts, similar to its investments in other RMBS that do not provide the Company with a controlling financial interest. The Company’s maximum exposure to loss does not include other-than-temporary impairments or other write-downs that the Company previously recognized through earnings.

The table below represents the carrying amounts and classification of assets recorded on the Company’s consolidated financial statements related to its variable interests in non-consolidated VIEs, as well as its maximum exposure to loss as a result of its involvement with these VIEs, which is represented by the fair value of the Company’s investments in the trusts.

		31-Dec-12								31-Dec-11
		Amortized Cost				Fair Value				Amortized Cost				Fair Value
		(dollars in thousands)
Assets
Non-Agency RMBS
Senior		$	72			$	85			$	168			$	127
Senior interest-only			-				128				128				266
Subordinated			581				2,266				4,651				4,858
Agency RMBS			1,198				1,001				1,890				2,273
Total		$	1,851			$	3,480			$	6,837			$	7,524

Interest_Rate_Swaps

Interest Rate Swaps	12 Months Ended
Interest Rate Swaps	Dec. 31, 2012
Interest Rate Swaps	'
	9. Interest Rate Swaps

	In connection with the Company’s interest rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps. The Company’s swaps are used to lock in a fixed rate related to a portion of its current and anticipated payments on its repurchase agreements. The Company typically agrees to pay a fixed rate of interest (“pay rate”) in exchange for the right to receive a floating rate of interest (“receive rate”) over a specified period of time. These derivative financial instrument contracts are not designated as hedges under ASC 815, Derivatives and Hedging. The use of interest rate swaps creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS pledged as collateral for swaps. The Company periodically monitors the credit of its counterparties to determine if it is exposed to counterparty credit risk. See Note 13 for further discussion.

	The table below summarizes the location and fair value of interest rate swaps reported in the Consolidated Statements of Financial Condition as of December 31, 2012 and 2011.

		Location on Consolidated		Notional Amount			Net Estimated Fair				Net Estimated Fair Value
		Statements of Financial					Value/Carrying Value				of Agency RMBS
		Condition									Pledged as Collateral
	(dollars in thousands)
	31-Dec-12	Liabilities		$	1,355,000		$	(53,939	)		$	60,382
	31-Dec-11	Liabilities		$	950,000		$	(44,467	)		$	46,647

	The effect of the Company’s interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income is presented below.

			Location on Consolidated Statements of Operations and
			Comprehensive Income (Loss)
			Net Unrealized Gains (Losses)			Net Realized Gains (Losses)
			on Interest Rate Swaps			on Interest Rate Swaps
			(dollars in thousands)
	For the Year Ended:
	31-Dec-12		$	(9,473	)	$	(20,223	)
	31-Dec-11		$	(34,478	)	$	(15,929	)
	31-Dec-10		$	(9,989	)	$	(5,788	)

	The weighted average pay rate on the Company’s interest rate swaps at December 31, 2012 was 1.81% and the weighted average receive rate was 0.21%. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2011 was 2.08% and the weighted average receive rate was 0.29%. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2010 was 2.59% and the weighted average receive rate was 0.26%.

	The following table summarizes the notional amounts and unrealized gains (losses) of interest rate swap contracts on a gross basis, amounts offset in accordance with netting arrangements and net amounts as presented in the Consolidated Statements of Financial Condition as of December 31, 2012 and 2011.

			31-Dec-12
			Interest Rate Swaps - Asset							Interest Rate Swaps - Liability
			Notional			Unrealized Gains				Notional			Unrealized Losses
			(dollars in thousands)
	Gross Amounts		$	-		$	-			$	1,355,000		$	53,939
	Amounts Offset			-			-				-			-
	Netted Amounts		$	-		$	-			$	1,355,000		$	53,939

			31-Dec-11
			Interest Rate Swaps - Asset							Interest Rate Swaps - Liability
			Notional			Unrealized Gains				Notional			Unrealized Losses
			(dollars in thousands)
	Gross Amounts		$	-		$	-			$	950,000		$	44,467
	Amounts Offset			-			-				-			-
	Netted Amounts		$	-		$	-			$	950,000		$	44,467
	All of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements (“ISDA”) which contain provisions that grant counterparties certain rights with respect to the applicable ISDA upon the occurrence of (i) negative performance that results in a decline in net assets in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of items (i) through (iv), the counterparty to the applicable ISDA has a right to terminate the ISDA in accordance with its provisions. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that are in a net liability position at December 31, 2012 is approximately $53.9 million including accrued interest, which represents the maximum amount the Company would be required to pay upon termination, which is fully collateralized.

Common_Stock

Common Stock	12 Months Ended
Common Stock	Dec. 31, 2012
Common Stock	'
	10. Common Stock

	On January 28, 2011 the Company entered into an equity distribution agreement with FIDAC and UBS Securities LLC (“UBS”). Through this agreement, the Company may sell through UBS, as its sales agent, up to 125,000,000 shares of its common stock in ordinary brokers’ transactions at market prices or other transactions as agreed between the Company and UBS. The Company did not sell any shares of its common stock under the equity distribution agreement during the years ended December 31, 2012 and 2011. As a result of the Company’s delay in filing its SEC reports by the filing date required by the SEC (including the grace period permitted by Rule 12b-25 under the Securities Exchange Act of 1934, as amended), the Company will not be able to issue shares of its common stock under the equity distribution agreement until filings with the SEC have been timely made for a full year.

	On September 24, 2009, the Company implemented a Dividend Reinvestment and Share Purchase Plan (“DRSPP”). The DRSPP provides holders of record of its common stock an opportunity to automatically reinvest all or a portion of their cash distributions received on common stock in additional shares of the Company’s common stock as well as to make optional cash payments to purchase shares of its common stock. Persons who are not already stockholders may also purchase the Company’s common stock under the plan through optional cash payments. The DRSPP is administered by the Administrator, Computershare. The DRSPP was suspended during the quarter ended March 31, 2012 when the Company was no longer current in its filings with the SEC. During the year ended December 31, 2012 the Company raised $117 thousand by issuing 39,000 shares through the DRSPP. During the year ended December 31, 2011 the Company raised $964 thousand by issuing 278,000 shares through the DRSPP. As a result of the Company’s delay in filing its SEC reports by the filing date required by the SEC (including the grace period permitted by Rule 12b-25 under the Securities Exchange Act of 1934, as amended), the Company will not be able to issue shares under the DRSPP until filings with the SEC have been timely made for a full year.

	During the year ended December 31, 2012 the Company declared dividends to common shareholders totaling $390.2 million, or $0.38 per share. During the year ended December 31, 2011 the Company declared dividends to common shareholders totaling $523.5 million, or $0.51 per share.

	Earnings per share for the years ended December 31, 2012 and 2011, respectively, is computed as follows:

				For the Year Ended
		31-Dec-12		31-Dec-11		31-Dec-10
		(dollars in thousands)
	Numerator:
	Net income	$	327,767	$	137,329	$	248,405
	Effect of dilutive securities:		-		-		-
	Dilutive net income available to stockholders	$	327,767	$	137,329	$	248,405

	Denominator:
	Weighted average basic shares		1,026,831,033		1,026,365,197		821,675,803
	Effect of dilutive securities		668,222		806,190		941,516
	Weighted average dilutive shares		1,027,499,255		1,027,171,387		822,617,319

	Net income per average share attributable to common stockholders - Basic	$	0.32	$	0.13	$	0.3
	Net income per average share attributable to common stockholders - Diluted	$	0.32	$	0.13	$	0.3

Long_Term_Incentive_Plan

Long Term Incentive Plan	12 Months Ended
Long Term Incentive Plan	Dec. 31, 2012
Long Term Incentive Plan	'
	11. Long Term Incentive Plan

	The Company has adopted a long term stock incentive plan to provide incentives to its independent directors and employees of FIDAC and its affiliates, to reward their efforts, to attract, reward and retain personnel and other service providers, and to align their interest with the common share investors. The incentive plan authorizes the Compensation Committee of the board of directors to grant awards, including incentive stock options, non-qualified stock options, restricted shares and other types of incentive awards. The specific award granted to an individual is based upon, in part, the individual’s position within FIDAC, the individual’s position within the Company, his or her contribution to the Company’s performance, as well as the recommendations of FIDAC. The incentive plan authorizes the granting of options or other awards for an aggregate of the greater of 8.0% of the outstanding shares of the Company’s common stock up to a ceiling of 40,000,000 shares.

	On January 2, 2008, the Company granted restricted stock awards in the amount of 1,301,000 shares to FIDAC’s employees and the Company’s independent directors. The awards to the independent directors vested on the date of grant and the awards to FIDAC’s employees vest quarterly over a period of 10 years. Of these shares, as of December 31, 2012, 715,000 shares have vested and 65,000 shares were forfeited. As of December 31, 2012 there was $10.4 million of total unrecognized compensation costs related to non-vested share-based compensation arrangements granted under the long term incentive plan, based on the closing price of the shares on the grant date. As of December 31, 2012 there was $1.4 million of total unrecognized compensation costs related to non-vested share-based compensation arrangements granted under the long term incentive plan, based on the closing price of the shares at year end. That cost is expected to be recognized over a period of 5.0 years. The total fair value of shares vested, less those forfeited, during the years ended December 31, 2012, 2011 and 2010 was $401 thousand, $443 thousand and $481 thousand , respectively, based on the closing price of the stock on the vesting date. For the years ended December 31, 2012, 2011 and 2010, compensation expense associated with the amortization of the fair value of the restricted stock was approximately $449 thousand, $451 thousand, and $490 thousand, respectively.

	The Company’s independent directors receive a fixed dollar amount of the Company’s common stock in return for services provided to the Company. Equity based awards granted to the independent directors vest during the year of service. For the years ended December 31, 2012, 2011 and 2010, the Company recognized $300 thousand, $270 thousand, and $236 thousand, respectively, of stock based compensation to independent directors.

	The following table presents information with respect to the Company’s restricted stock awards during the years ended December 31, 2012 and 2011:

		For the Year Ended
		31-Dec-12					31-Dec-11
		Number of Shares			Weighted Average		Number of Shares			Weighted Average
					Grant Date Fair					Grant Date Fair
					Value					Value
	Unvested shares outstanding - beginning of period		758,400			17.72		884,800			17.72
	Granted		111,528			2.69		98,544			2.74
	Vested		(264,232	)		17.72		(222,994	)		11.16
	Forfeited		(19,696	)		17.72		(1,950	)		17.72
	Unvested shares outstanding - end of period		586,000			17.72		758,400			17.72

Income_Taxes

Income Taxes	12 Months Ended
Income Taxes	Dec. 31, 2012
Income Taxes	'
	12. Income Taxes

	For the year ended December 31, 2012, the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income.

	The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees and its TRS is subject to federal, state, and local taxes.

	During the years ended December 31, 2012, 2011 and 2010, the Company recorded income tax expense of $1 thousand, $606 thousand, and $756 thousand, respectively.

	In general, common stock cash dividends declared by the Company will be considered ordinary income to stockholders for income tax purposes. From time to time, a portion of the Company’s dividends may be characterized as capital gains or return of capital. For the year ended December 31, 2012, $0.12 of the income distributed in the form of dividends declared is characterized as a return of capital for federal income tax purposes. For the years ended December 31, 2011 and 2010, all income distributed in the form of dividends declared is characterized as ordinary income.

	The Company’s effective tax rate differs from its combined federal, state and city corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a).

	The Company’s 2010, 2011 and 2012 federal, state and local tax returns remain open for examination.

Credit_Risk_and_Interest_Rate_

Credit Risk and Interest Rate Risk	12 Months Ended
Credit Risk and Interest Rate Risk	Dec. 31, 2012
Credit Risk and Interest Rate Risk	'
	13. Credit Risk and Interest Rate Risk

	The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency and Non-Agency RMBS, residential mortgage loans, and borrowings under repurchase agreements. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related liabilities. The Company attempts to minimize credit risk through due diligence and asset selection by purchasing loans underwritten to agreed-upon specifications of selected originators. The Company has established a whole loan target market including prime borrowers with FICO scores generally greater than 650, Alt-A documentation, geographic diversification, owner-occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk.

	By using derivative hedging instruments and repurchase agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative hedging instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a repurchase agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements

Management_Agreement_and_Relat

Management Agreement and Related Party Transactions	12 Months Ended
Management Agreement and Related Party Transactions	Dec. 31, 2012
Management Agreement and Related Party Transactions	'
	14. Management Agreement and Related Party Transactions

	The Company entered into a management agreement with FIDAC, which provided for an initial term through December 31, 2010 with an automatic one-year extension option and subject to certain termination rights. The Compensation Committee of the Board of Directors renewed the management agreement through December 31, 2013. In 2011 and 2010, the Company paid FIDAC a quarterly management fee equal to 1.50% per annum of the gross Stockholders’ Equity (as defined in the management agreement) of the Company. Effective November 28, 2012, the management fee was reduced to 0.75% per annum of gross Stockholders’ Equity, which reduction will remain in effect until the Company is current on all of its filings required under applicable securities laws.

	Management fees accrued and paid to FIDAC for the years ended December 31, 2012, 2011 and 2010 were $49.5 million, $52.0 million, and $40.9 million respectively.

	Under the management agreement, the Company is obligated to reimburse FIDAC for its costs incurred under the management agreement. In addition, the management agreement permits FIDAC to require the Company to pay for its pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses that FIDAC incurred in connection with the Company’s operations. These expenses are allocated between FIDAC and the Company based on the ratio of the Company’s proportion of gross assets compared to the gross assets managed by FIDAC as calculated at each quarter end. FIDAC and the Company will modify this allocation methodology, subject to the approval of the Company’s board of directors if the allocation becomes inequitable (i.e., if the Company becomes very highly leveraged compared to FIDAC’s other funds and accounts). During the year ended December 31, 2012, the Company reimbursed FIDAC approximately $447 thousand for such expenses. During the year ended December 31, 2011, the Company reimbursed FIDAC approximately $625 thousand for such expenses. During the year ended December 31, 2010, the Company reimbursed FIDAC approximately $465 thousand for such expenses.

	The Company and FIDAC amended the management agreement on March 8, 2013. In the amendment, the reduction in the management fee was memorialized. In addition, FIDAC agreed to pay all past and future expenses that the Company and/or the Audit Committee of the Company incur to: (1) evaluate the Company’s accounting policy related to the application of GAAP to its Non-Agency RMBS portfolio (the “Evaluation”); (2) restate the Company’s financial statements for the period covering 2008 through 2011 as a result of the Evaluation (the “Restatement Filing”); and (3) investigate and evaluate any shareholder derivative demands arising from the Evaluation and/or the Restatement Filing (the “Investigation”); provided, however, that FIDAC’s obligation to pay expenses applies only to expenses not paid by the Company’s insurers under its insurance policies. Expenses shall include, without limitation, fees and costs incurred with respect to auditors, outside counsel, and consultants engaged by the Company and/or the Audit Committee of the Company for the Evaluation, Restatement Filing and the Investigation. The amount paid by FIDAC related to these expenses for the year ended December 31, 2012 is $4.7 million, respectively, and is presented in the Consolidated Statements of Operations and Comprehensive Income (Loss) as Expense recoveries from Manager.

	The amendment also provides that the independent directors or the holders of a majority of the outstanding shares of common stock (other than those held by Annaly or its affiliates) may elect to terminate the management agreement upon 30 days notice at any time in their sole discretion without the payment of a termination fee. The amendment also provides that the Company may terminate the management agreement effective immediately if (i) FIDAC engages in any act of fraud, misappropriation of funds, or embezzlement against the Company, (ii) there is an event of any gross negligence on the part of FIDAC in the performance of its duties under the management agreement, (iii) there is a commencement of any proceeding relating to FIDAC’s bankruptcy or insolvency, (iv) there is a dissolution of FIDAC, or (v) FIDAC is convicted of (including a plea of nolo contendere) a felony.

	On March 1, 2011, the Company entered into an administrative services agreement with RCap Securities Inc., (“RCap”). RCap is a SEC-registered broker-dealer and a wholly-owned subsidiary of Annaly that clears the Company’s securities trades in return for normal and customary fees that RCap charges for such services. RCap may also provide brokerage services to the Company from time to time. During the years ended December 31, 2012 and 2011, fees paid to RCAP were $137 thousand $162 thousand, respectively.

	During the years ended December 31, 2012 and 2011, 172,000 shares and 126,000 shares of restricted stock issued by the Company to FIDAC’s employees vested, respectively.

Commitments_and_Contingencies

Commitments and Contingencies	12 Months Ended
Commitments and Contingencies	Dec. 31, 2012
Commitments and Contingencies	'
	15. Commitments and Contingencies

	From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. In connection with certain re-securitization transactions engaged in by the Company, the Company has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. Management is not aware of any contingencies that require accrual or disclosure under ASC 450, Contingencies, as of December 31, 2012 and 2011.

Subsequent_Events

Subsequent Events	12 Months Ended
Subsequent Events	Dec. 31, 2012
Subsequent Events	'
	16. Subsequent Events

	The Board of Directors declared and paid common stock cash dividends of $0.09 per common share for the first three quarters of 2013. The Board of Directors has declared common stock dividends of $0.09 per common share for the fourth quarter of 2013. The Board of Directors has also determined that there will be a regular quarterly dividend of $0.09 per share for each of the first two quarters of 2014. The Board of Directors also declared a special dividend of $0.20 per share payable on January 31, 2014 to shareholders of record on January 8, 2014. The special dividend may be characterized as a return of capital for federal income tax purposes.

Restatements_and_Summarized_Qu

Restatements and Summarized Quarterly Results (Unaudited)	12 Months Ended
Restatements and Summarized Quarterly Results (Unaudited)	Dec. 31, 2012
Restatements and Summarized Quarterly Results (Unaudited)	'
	17. Restatements and Summarized Quarterly Results (Unaudited)

	(a) Restatements

	The Company restated its previously issued (i) Consolidated Statements of Financial Condition included in its Annual Report on Form 10-K as of December 31, 2010 and (ii) Consolidated Statements of Operations and Comprehensive Income (Loss), Consolidated Statements of Changes in Stockholders’ Equity, and Consolidated Statements of Cash Flows for the year ended December 31, 2010, including the cumulative effect of the Restatement on Retained earnings (accumulated deficit) as of the earliest period presented (the “Restatement”) as part of its Form 10-K for the year ended December 31, 2011. Refer to Note 16 of the Form 10-K as of December 31, 2011 issued on March 8, 2013 for further details of the Restatement and the impact on prior periods.

	From the Company’s inception in 2007 through the second quarter of 2011, the Company applied the GAAP guidance in ASC 320-10 and ASC 310-20 as the basis for recognizing interest income and other-than-temporary impairment (“OTTI”) for its investments in Non-Agency RMBS. The Company should have also applied the guidance in ASC 325-40 for securities not of high credit quality, and ASC 310-30 for certain of its investments in Non-Agency RMBS with deteriorated credit quality. Specifically, the Company determined that it had incorrectly recognized interest income and OTTI on certain Non-Agency RMBS since the Company’s inception. The Company determined that these errors were material therefore requiring the Restatement.

	The Restatement resulted in a decrease in Net Income previously reported for the year ended December 31, 2010 of $284.4 million, or $0.35 per fully diluted share. The Restatement also resulted in a reduction of net interest income previously reported for the year ended December 31, 2010 of $173.6 million. The Restatement also reduced retained earnings previously reported as of December 31, 2010 by $409.9 million and reduced total equity previously reported by $4.4 million for the same period.

	(b) Immaterial Restatements

	The Company corrected amounts previously reported in Total other-than-temporary impairments (“OTTI”) losses and the Portion of loss recognized in other comprehensive income (loss) in the Consolidated Statements of Operations and Comprehensive Income (Loss) as the previous presentation was reported on a cumulative basis. The current presentation reflects only that portion of Total other-than-temporary impairments loss and the Portion of loss recognized in other comprehensive income (loss) that is incremental for the reporting period by giving consideration to both the credit and portions of OTTI reported in Other comprehensive income (loss) and recognized in prior periods. For the years ended December 31, 2011 and 2010, the previously reported Total other-than-temporary impairments losses of $418.1 million and $295.4 million was reduced by $176.2 million and $254.6 million, respectively. This change was fully offset by an adjustment to the previously reported Portion of loss recognized in other comprehensive income (loss) of $61.0 million and $163.5 million, respectively. The corrections had no impact on any previously reported Net other-than-temporary credit impairment losses, Net income (loss), Other comprehensive income (loss), Net income (loss) per share available to common shareholders or Consolidated Statements of Cash Flows.

	In the Company’s 2012 Form 10-Q for the period ending March 31, 2012, the Company did not present total OTTI correctly when total cumulative credit losses are greater than total OTTI in the Consolidated Statements of Operations and Comprehensive Income (Loss). Total OTTI losses should be reported net of unrealized gains on a security when they occur in the same period as a credit loss. The previously reported total OTTI and portion of loss recognized in OCI for three month period ending March 31, 2012 of $57.0 million and $8.6 million, respectively, were reduced by $24.9 million. Additionally, the Company noted an error in the presentation of reclassification items within Comprehensive income (loss) in the Consolidated Statements of Operations and Comprehensive Income (Loss) for the quarter ended March 31, 2012. This error would result in a reduction of $47.1 million between Unrealized gains (losses) on available-for-sale securities, net, an increase in Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses of $62.6 million and a reduction in Reclassification adjustment for net realized losses (gains) included in net income (loss) of $15.5 million. These adjustments are solely between the components of Accumulated other comprehensive income (loss) and have no impact on Total stockholders’ equity. The errors noted related to the financial statements for the period ended March 31, 2012 will be corrected in the Company’s future filings that presents such information. The fiscal year ended December 31, 2012 reflects the correction of the March 31, 2012 errors. The correction had no impact on any previously reported Net other-than-temporary credit impairment losses, Net income (loss), Other comprehensive income (loss), Net income (loss) per share available to common shareholders or Consolidated Statements of Cash Flows.

	The following is a presentation of the results of operations for the quarters ended December 31, 2012, September 30, 2012, June 30, 2012 and March 31, 2012. The amounts below reflect the impact of the immaterial restatement as described above.

		31-Dec-12			30-Sep-12			30-Jun-12			31-Mar-12
		(dollars in thousands, except per share date)
	Net Interest Income:
	Interest income	$	133,552		$	144,696		$	161,524		$	149,668
	Less interest expense		(33,874	)		(34,356	)		(21,953	)		(36,375	)
	Net interest income (expense)		99,678			110,340			139,571			113,293
	Other-than-temporary impairments:
	Total other-than-temporary impairment losses		(368	)		(2,713	)		(12,474	)		(32,077	)
	Portion of loss recognized in other comprehensive income (loss)		(7,817	)		(7,301	)		(53,213	)		(16,287	)
	Net other-than-temporary credit impairment losses		(8,185	)		(10,014	)		(65,687	)		(48,364	)
	Net gains (losses) on interest rate swaps		(199	)		(9,725	)		(16,186	)		(3,586	)
	Net unrealized gains (losses) on interest-only RMBS		811			(15,393	)		(2,532	)		17,947
	Net realized gains (losses) on sales of investments		1			69,155			-			16,010
	Total other expenses		13,422			16,295			14,385			15,065
	Net income (loss)	$	78,685		$	128,068		$	40,781		$	80,233
	Net income (loss) per share-basic and diluted	$	0.08		$	0.12		$	0.04		$	0.08

	The following is a presentation of the results of operations for the quarters ended December 31, 2011, September 30, 2011, June 30, 2011 and March 31, 2011. The amounts below reflect the impact of the Restatement and immaterial restatement as described above.

		31-Dec-11			30-Sep-11			30-Jun-11			31-Mar-11
		(dollars in thousands, except per share date)
	Net Interest Income:
	Interest income	$	167,541		$	185,581		$	179,859		$	172,043
	Less interest expense		(30,696	)		(32,792	)		(35,793	)		(35,577	)
	Net interest income (expense)		136,845			152,789			144,066			136,466
	Other-than-temporary impairments:
	Total other-than-temporary impairment losses		(80,038	)		(78,950	)		(57,926	)		(25,048	)
	Portion of loss recognized in other comprehensive income (loss)		(31,154	)		(71,610	)		(4,244	)		(8,135	)
	Net other-than-temporary credit impairment losses		(111,192	)		(150,560	)		(62,170	)		(33,183	)
	Net gains (losses) on interest rate swaps		(3,782	)		(29,812	)		(23,797	)		6,984
	Net unrealized gains (losses) on interest-only RMBS		(12,934	)		(17,600	)		11,883			4,106
	Net realized gains (losses) on sales of investments		52,566			58			(913	)		2,642
	Total other expenses		18,794			15,082			14,972			15,679
	Net income (loss)	$	42,748		$	(60,036	)	$	53,979		$	100,638
	Net income (loss) per share-basic and diluted	$	0.04		$	(0.06	)	$	0.05		$	0.1

Summary_of_the_Significant_Acc1

Summary of the Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 2012
Basis of Presentation and Consolidation	'
	(a) Basis of Presentation and Consolidation

	The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). In the opinion of management, all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. Certain prior year amounts have been reclassified to conform with the current year's presentation.

	The consolidated financial statements include, on a consolidated basis, the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities (“VIEs”) in which the Company is the primary beneficiary. All significant intercompany balances and transactions have been eliminated in consolidation.

	VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary, and is generally the entity with (i) the power to direct the activities that most significantly impact the VIE’s economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE.

	The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. Prior to January 1, 2010, these VIEs met the definition of Qualified Special Purpose Entities (“QSPE”) and, as such, were not subject to consolidation by the Company. Effective January 1, 2010, all such VIEs were considered for consolidation based on the criteria in ASC 810, Consolidation, resulting in the consolidation of certain VIEs that were not previously consolidated. Non-Agency RMBS transferred to consolidated VIEs are composed entirely of senior certificates.
Statements of Financial Condition Presentation	'
	(b) Statements of Financial Condition Presentation

	The Company’s Consolidated Statements of Financial Condition separately present: (i) the Company’s direct assets and liabilities, and (ii) the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company.

	The Company has aggregated all the assets and liabilities of the consolidated securitization vehicles due to the determination that these entities are substantively similar and therefore a further disaggregated presentation would not be more meaningful. The notes to the consolidated financial statements describe the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles.
Cash and Cash Equivalents	'
	(c) Cash and Cash Equivalents

	Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2012 and 2011.
Agency and Non-Agency Residential Mortgage-Backed Securities	'
	(d) Agency and Non-Agency Residential Mortgage-Backed Securities

	The Company invests in residential mortgage-backed securities (“RMBS”) representing interests in obligations backed by pools of mortgage loans. The Company delineates between (1) Agency RMBS and (2) Non-Agency RMBS as follows: Agency RMBS are mortgage pass-through certificates, collateralized mortgage obligations (“CMOs”), and other RMBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation. Non-Agency RMBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency RMBS is subject to the performance of the mortgage loans or RMBS collateralizing the obligation.

	The Company classifies its RMBS as available-for-sale, records investments at estimated fair value as described in Note 5 of these Consolidated Financial Statements, and includes unrealized gains and losses considered to be temporary on all RMBS, excluding interest-only strips, in Other comprehensive income (loss) in the Consolidated Statements of Operations and Comprehensive Income (Loss). Interest-only strips are recorded at estimated fair value and all unrealized gains and losses are included in earnings in the Consolidated Statements of Operations and Comprehensive Income (Loss). From time to time, as part of the overall management of its portfolio, the Company may sell any of its RMBS investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations and Comprehensive Income (Loss) utilizing the average cost method.

	The Company’s accounting policy for interest income and impairment related to its RMBS is as follows:

	Interest Income Recognition

	The recognition of interest income on RMBS securities varies depending on the characteristics of the security as follows:

	Agency RMBS and Non-Agency RMBS of High Credit Quality

	ASC 310-20, Nonrefundable Fees and Other Costs (“ASC 310-20”) is applied to the recognition of interest income for the following securities:

	●	Agency RMBS
	●	Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”):

	1.	Rated AA or higher by a nationally recognized credit rating agency. The Company uses the lowest rating available.
	2.	The Company expects to collect all of the security’s contractual cash flows.
	3.	The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment.

	Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the constant effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security on a quarterly basis. This recalculation results in the recognition of an adjustment to the carrying amount of the security based on the revised prepayment assumptions and a corresponding increase or decrease in reported interest income.

	Non-Agency RMBS Not of High Credit Quality

	Non-Agency RMBS that are purchased at a discount and that are not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality (“ASC 310-30”) or ASC 325-40, Beneficial Interests in Securitized Financial Assets (“ASC 325-40”) (referred to hereafter as “Non-Agency RMBS Not of High Credit Quality”).

	Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date:

	1.	There is evidence of deterioration in credit quality of the security from its inception.
	2.	It is probable that the Company will be unable to collect all contractual cash flows of the security.

	Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date:

	1.	The security is not of high credit quality (defined as rated below AA or is unrated), or
	2.	The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment.

	Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. Quarterly, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount and/or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment ("OTTI") results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income.

	Impairment

	Considerations Applicable to all RMBS

	When the fair value of an available-for-sale RMBS is less than its amortized cost the security is considered impaired. On at least a quarterly basis the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining or non-credit component is recorded as a component of other comprehensive income (loss) (“OCI”). Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recoveries in fair value may not be adjusted through earnings.

	When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is subjective as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI, its timing and amount, is based on estimates that may change materially over time.

	The Company’s estimate of the amount and timing of cash flows for its RMBS is based on its review of the underlying securities or mortgage loans securing the RMBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation (“FICO”) scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, such as Moody’s Investors Service, Inc., Standard & Poor’s Rating Services or Fitch Ratings, Inc., general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its RMBS.

	Considerations Applicable to Non-Agency RMBS of High Credit Quality

	The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income (loss).

	Following the recognition of an OTTI through earnings for the credit loss component, a new amortized cost basis is established for the security and subsequent recoveries in fair value may not be adjusted through earnings.

	Considerations Applicable to Non-Agency RMBS Not of High Credit Quality

	Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e., adverse changes in either the amount or timing of cash flows from those previously expected).

	The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income (loss). The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income (loss) comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30.

Following the recognition of an OTTI through earnings for the credit component, a new amortized cost basis is established for the security and subsequent recoveries in fair value may not be adjusted through earnings. However, to the extent that there are subsequent increases in cash flows expected to be collected, the OTTI previously recorded through earnings may be accreted into interest income following the guidance in ASC 325-40 or ASC 310-30.

The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time.
Interest-Only RMBS	'
	(e) Interest-Only RMBS

	The Company invests in interest-only (“IO”) Agency and Non-Agency RMBS. IO RMBS represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. The Company has accounted for IO RMBS at fair value with changes in fair value recognized in the Company’s Consolidated Statements of Operations and Comprehensive Income (Loss). The Company has elected the fair value option to account for IO RMBS to simplify the reporting of changes in fair value. The IO RMBS are included in RMBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Interest income on IO RMBS is accrued based on the outstanding notional balance and the security’s contractual terms, and amortization of any premium or discount is calculated in accordance with ASC 325-40. Changes in fair value are presented in Net unrealized gains (losses) on interest-only RMBS on the Consolidated Statement of Operations and Comprehensive Income (Loss). Interest income reported on IO securities was $23.1 million, $32.5 million and $18.8 million for the years ended December 31, 2012, 2011 and 2010, respectively.
Securitized Loans Held for Investment and Related Allowance for Loan Losses	'
	(f) Securitized Loans Held for Investment and Related Allowance for Loan Losses

	The Company’s securitized residential mortgage loans are comprised of fixed-rate and variable-rate loans. Mortgage loans are designated as held for investment, and are carried at their principal balance outstanding, plus any premiums, less discounts and allowances for loan losses. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method. Nonrefundable fees and costs related to acquiring the Company’s securitized residential mortgage loans are recognized as expenses over the life of the loans as an adjustment of yield. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Income recognition is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. The Company estimates the fair value of securitized loans for disclosure purposes only as described in Note 5 of these consolidated financial statements.
Allowance for Loan Losses - Securitized Loans Held for Investment	'
	(g) Allowance for Loan Losses – Securitized Loans Held for Investment

	The securitized loan portfolio is comprised primarily of non-conforming, single family, owner occupied, jumbo, prime loans that are not guaranteed as to repayment of principal or interest. Securitized loans are serviced and modified by a third-party servicer. The Company is not involved in the loan modification process, except as it relates to the CSMC 2012-CIM1, CSMC 2012-CIM2 and CSMC 2012-CIM3 securitization vehicles consolidated by the Company that are collateralized by residential mortgage loans. As it relates solely to CSMC 2012-CIM1, CSMC 2012-CIM2 and CSMC 2012-CIM3 , the Company has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to loans in technical default, including whether or not to proceed with foreclosure.

	The Company has established an allowance for loan losses related to securitized loans that is composed of a general and specific reserve. The general reserve relates to loans that have not been individually evaluated for impairment and is accounted for under ASC 450, Contingencies. The general reserve is based on historical loss rates for pools of loans with similar credit characteristics, adjusted for current trends and conditions.

	Certain loans are individually evaluated for impairment under ASC 310, Receivables, including securitized loans modified by the servicer and loans more than 60 days delinquent. Loan modifications made by the servicer are evaluated to determine if they constitute troubled debt restructurings (“TDRs”). A restructuring of a loan constitutes a TDR if the servicer, for economic or legal reasons related to the borrower's financial difficulties, grants a concession to the borrower that it would not otherwise consider. Impairment of modified loans considered to be TDRs is measured based on the present value of expected cash flows discounted at the loan’s effective interest rate at inception. If the present value of expected cash flows is less than the recorded investment in the loan, an allowance for loan losses is recognized with a corresponding charge to the provision for loan losses. Impairment of all other loans individually evaluated is measured as the difference between the unpaid principal balance and the estimated fair value of the collateral, less estimated costs to sell. The Company charges off the corresponding loan allowance and related principal balance when the servicer reports a realized loss. A complete discussion of securitized loans held for investment is included in Note 4 to these consolidated financial statements.
Repurchase Agreements	'
	(h) Repurchase Agreements

	The Company finances the acquisition of a significant portion of its Agency mortgage-backed securities with repurchase agreements. The Company examines each of the specified criteria in ASC 860, Transfers and Servicing (“ASC 860”), at the inception of each transaction and has determined that each of the Company’s repurchase agreements meet the specified criteria in this guidance to be accounted for as secured borrowings. None of the Company’s repurchase agreements are accounted for as components of linked transactions. As a result, the Company separately accounts for the financial assets posted as collateral and related repurchase agreements in the accompanying consolidated financial statements.
Securitized Debt, Non-Agency RMBS Transferred to Consolidated VIEs, and Securitized Debt, Loans Held for Investment	'
	(i) Securitized Debt, Non-Agency RMBS Transferred to Consolidated VIEs, and Securitized Debt, Loans Held for Investment

	The Company has issued securitized debt to finance a portion of its residential mortgage loan and RMBS portfolios. Certain transactions involving residential mortgage loans are accounted for as secured borrowings, and are recorded as “Securitized loans held for investment” and the corresponding debt as “Securitized debt, loans held for investment” in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. Re-securitization transactions classified as “Securitized debt, Non-Agency RMBS transferred to consolidated VIEs” reflect the transfer to a trust of fixed or adjustable rate RMBS which are classified as “Non-Agency RMBS transferred to consolidated VIEs” that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings pursuant to ASC 860. For the year ended December 31, 2012, the Company did not have any continuing involvement, other than as a passive investor, with any loans or securities previously sold, except as it relates to the loans in the CSMC 2012-CIM1, CSMC 2012-CIM2 and CSMC 2012-CIM3 securitizations as further described above. The holders of securitized debt have no recourse to the Company and the Company does not receive any interest or principal paid on such debt. As of December 31, 2012 and 2011 the Company recorded $2.5 billion and $1.9 billion in principal on securitized debt and accrued interest payable, respectively. The associated securitized debt is carried at amortized cost. The Company estimates the fair value of its securitized debt for disclosure purposes as described in Note 5 to these consolidated financial statements.
Fair Value Disclosure	'
	(j) Fair Value Disclosure

	A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements.
Derivative Financial Instruments	'
	(k) Derivative Financial Instruments

	The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps and interest rate caps, as a means of managing its interest rate risk. The Company intends to use interest rate derivative instruments to manage interest rate risk rather than to enhance returns. Interest rate swaps are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. Net payments on interest rate swaps are included in the Consolidated Statements of Cash Flows as a component of net income (loss). Unrealized gains (losses) on interest rate swaps are removed from net income (loss) to arrive at cash flows from operating activities. The Company estimates the fair value of interest rate swaps as described in Note 5 of these consolidated financial statements.

	The Company elects to net by counterparty the fair value of interest rate swap contracts. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual swaps receivable and payable with each counterparty and, therefore, the fair value of those swap contracts are reported net by counterparty. The credit support annex provisions of the Company’s interest rate swap contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of interest rate swap contracts, it also nets by counterparty any collateral exchanged as part of the interest rate swap contracts.
Sales, Securitizations, and Re-Securitizations	'
	(l) Sales, Securitizations, and Re-Securitizations

	The Company periodically enters into transactions in which it sells financial assets, such as RMBS, and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average value of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales and the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized and/or re-securitized assets.
Income Taxes	'
	(m) Income Taxes

	The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will not be subject to federal, state or local income tax to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. The Company and CIM Trading made a joint election to treat CIM Trading as a TRS. As such, CIM Trading is taxable as a domestic C corporation and subject to federal, state, and local income taxes based upon its taxable income.

	The provisions of ASC 740, Income Taxes (“ASC 740”), clarify the accounting for uncertainty in income taxes recognized in financial statements and prescribe a recognition threshold and measurement attribute for tax positions taken or expected to be taken on a tax return. The Company does not have any unrecognized tax benefits that would affect its financial position. The Company has not taken any tax positions that would require disclosure under ASC 740. No accruals for penalties and interest were necessary as of December 31, 2012 or December 31, 2011.
Net Income per Share	'
	(n) Net Income per Share

	The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments, such as unvested restricted stock, but uses the average share price for the period in determining the number of incremental shares that are to be added to the diluted weighted average number of shares outstanding.
Stock-Based Compensation	'
	(o) Stock-Based Compensation

	The Company accounts for stock-based compensation awards granted to the employees of FIDAC and FIDAC’s affiliates in accordance with ASC 505-50, Equity-Based Payments to Non-Employees (“ASC 505-50”). Pursuant to ASC 505-50 the Company measures the fair value of the equity instrument using the stock prices and other measurement assumptions as of the earlier of either the date at which a performance commitment by the recipient is reached or the date at which the recipient’s performance is complete. Compensation expense related to the grants of stock is recognized over the vesting period of such grants based on the fair value of the stock on each quarterly vesting date, at which the recipient’s performance is complete.

	The Company accounts for stock-based compensation awards granted to the Company’s independent directors in accordance with ASC 718, Compensation – Stock Compensation (“ASC 718”). Compensation expense for equity based awards granted to the Company’s independent directors is recognized pro-rata over the vesting period of such awards, based upon the fair value of such awards at the grant date.
Use of Estimates	'
	(p) Use of Estimates

	The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. Management has made significant estimates in accounting for income recognition and OTTI on Agency and Non-Agency RMBS and IO RMBS (Note 3), valuation of Agency and Non-Agency RMBS (Notes 3 and 5), and interest rate swaps (Notes 5 and 9). Actual results could differ materially from those estimates.
Recent Accounting Pronouncements	'
	(q) Recent Accounting Pronouncements

	Presentation

	Balance Sheet (Topic 210)

	On December 23, 2011, the FASB released Accounting Standards Update (“ASU”) 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. Under this update, the Company will be required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and transactions subject to an agreement similar to a master netting arrangement. The scope would include derivatives, sale and repurchase agreements and reverse sale and repurchase agreements and securities borrowing and securities lending arrangements. This disclosure is intended to enable financial statement users to understand the effect of such arrangements on the Company’s financial position. This update is effective for the Company for financial statements presented beginning in the first quarter of 2013. This update will result in additional disclosure but will have no impact on total assets, liabilities, stockholders’ equity, or Net income (loss).

	Comprehensive Income (Topic 220)

	In June 2011, the FASB released ASU 2011-05, Comprehensive Income: Presentation of Comprehensive Income, which attempts to improve the comparability, consistency, and transparency of financial reporting and increase the prominence of items reported in OCI. ASU 2011-05 requires that all non-owner changes in stockholders’ equity be presented either in a single continuous statement of net income and comprehensive income or two separate consecutive statements. Either presentation requires the presentation on the face of the financial statements any reclassification adjustments for items that are reclassified from OCI to net income in the statements. There is no change in what must be reported in OCI or when an item of OCI must be reclassified to net income. This update is effective for fiscal years, and interim periods within those years, beginning after December 15, 2011. The Company adopted the provisions of ASU 2011-05 effective January 1, 2012. Adoption of ASU 2011-05 did not have a significant impact on the Company’s consolidated financial statements.

	On December 23, 2011, the FASB issued ASU 2011-12, Comprehensive Income: Deferral of Effective Date for Amendments to the Presentation of Reclassifications of Items Out of Accumulated Other Comprehensive Income In ASU No. 2011-05, which defers those changes in ASU 2011-05 that relate to the presentation of reclassification adjustments out of accumulated OCI. This deferral was made to allow the FASB time to re-deliberate the presentation, on the face of the financial statements, of the effects of reclassifications out of accumulated OCI on the components of net income and OCI. No other requirements under ASU 2011-05 are affected by ASU 2011-12. FASB tentatively decided not to require presentation of reclassification adjustments out of accumulated OCI on the face of the financial statements and to propose new disclosures instead.

	In February 2013, the FASB issued ASU 2013-02 Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income. This update addresses the disclosure issue left open at the deferral under ASU 2011-12. This update requires the provision of information about the amounts reclassified out of accumulated OCI by component. In addition, it requires presentation, either on the face of the statement where net income is presented or in the Notes, significant amounts reclassified out of accumulated OCI by the respective line items of net income, but only if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period. For other amounts that are not required under GAAP to be reclassified in their entirety to net income, a cross-reference must be provided to other disclosures required under GAAP that provide additional detail about those amounts. This update is effective for the Company for financial statements presented beginning in the first quarter of 2013. Adoption of ASU 2013-02 is not expected to have a significant impact on the consolidated financial statements.

	Broad Transactions

	Fair Value Measurements and Disclosures (Topic 820)

	In May 2011, the FASB released ASU 2011-04, Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS, further converging U.S. GAAP and IFRS by providing common fair value measurement and disclosure requirements. FASB made changes to the fair value measurement guidance, which include: 1) prohibiting the inclusion of block discounts in all fair value measurements, not just Level 1 measurements, 2) adding guidance on when to include other premiums and discounts in fair value measurements, 3) clarifying that the concepts of “highest and best use” and “valuation premise” apply only when measuring the fair value of non-financial assets and 4) adding an exception that allows the measurement of a group of financial assets and liabilities with offsetting risks (e.g., a portfolio of derivative contracts) at their net exposure to a particular risk if certain criteria are met. ASU 2011-04 also requires additional disclosure related to items categorized as Level 3 in the fair value hierarchy, including a description of the processes for valuing these assets, providing quantitative information about the significant unobservable inputs used to measure fair value and, in certain cases, explaining the sensitivity of the fair value measurements to changes in unobservable inputs. The Company adopted this standard in the first quarter 2012. Adoption of ASU 2011-04 increased the footnote disclosure, but had no impact on the Company’s consolidated financial statements.

	Transfers and Servicing (Topic 860)

	In April 2011, the FASB issued ASU 2011-03, Transfers and Servicing: Reconsideration of Effective Control for Repurchase Agreements. In a typical repurchase agreement transaction, an entity transfers financial assets to the counterparty in exchange for cash with an agreement for the counterparty to return the same or equivalent financial assets for a fixed price in the future. Prior to this update, one of the factors in determining whether sale treatment could be used was whether the transferor maintained effective control of the transferred assets and, in order to do so, the transferor must have the ability to repurchase such assets. In connection with the issuance of ASU 2011-03, the FASB concluded that the assessment of effective control should focus on a transferor’s contractual rights and obligations with respect to transferred financial assets, rather than whether the transferor has the practical ability to perform in accordance with those rights or obligations. ASU 2011-03 removes the transferor’s ability criterion from consideration of effective control. The Company adopted this standard in the first quarter 2012. As the Company records repurchase agreements as secured borrowings and not sales, this update has no significant effect on the Company’s consolidated financial statements.

	Financial Services – Investment Companies (Topic 946)

	In June 2013, the FASB finalized ASU 2013-08 amending the scope, measurement and disclosure requirements under Topic 946 – Financial Services-Investment Companies. The Board decided not to address issues related to the applicability of investment company accounting for real estate entities and the measurement of real estate investments at this time. Further, as stated in ASC 946-10-15-3, the guidance in Topic 946 does not apply to real estate investment trusts, and thus has no effect on the Company’s consolidated financial statements.
Restatements	'
	(a) Restatements

	The Company restated its previously issued (i) Consolidated Statements of Financial Condition included in its Annual Report on Form 10-K as of December 31, 2010 and (ii) Consolidated Statements of Operations and Comprehensive Income (Loss), Consolidated Statements of Changes in Stockholders’ Equity, and Consolidated Statements of Cash Flows for the year ended December 31, 2010, including the cumulative effect of the Restatement on Retained earnings (accumulated deficit) as of the earliest period presented (the “Restatement”) as part of its Form 10-K for the year ended December 31, 2011. Refer to Note 16 of the Form 10-K as of December 31, 2011 issued on March 8, 2013 for further details of the Restatement and the impact on prior periods.

	From the Company’s inception in 2007 through the second quarter of 2011, the Company applied the GAAP guidance in ASC 320-10 and ASC 310-20 as the basis for recognizing interest income and other-than-temporary impairment (“OTTI”) for its investments in Non-Agency RMBS. The Company should have also applied the guidance in ASC 325-40 for securities not of high credit quality, and ASC 310-30 for certain of its investments in Non-Agency RMBS with deteriorated credit quality. Specifically, the Company determined that it had incorrectly recognized interest income and OTTI on certain Non-Agency RMBS since the Company’s inception. The Company determined that these errors were material therefore requiring the Restatement.

	The Restatement resulted in a decrease in Net Income previously reported for the year ended December 31, 2010 of $284.4 million, or $0.35 per fully diluted share. The Restatement also resulted in a reduction of net interest income previously reported for the year ended December 31, 2010 of $173.6 million. The Restatement also reduced retained earnings previously reported as of December 31, 2010 by $409.9 million and reduced total equity previously reported by $4.4 million for the same period.
Immaterial Restatements	'
	(b) Immaterial Restatements

	The Company corrected amounts previously reported in Total other-than-temporary impairments (“OTTI”) losses and the Portion of loss recognized in other comprehensive income (loss) in the Consolidated Statements of Operations and Comprehensive Income (Loss) as the previous presentation was reported on a cumulative basis. The current presentation reflects only that portion of Total other-than-temporary impairments loss and the Portion of loss recognized in other comprehensive income (loss) that is incremental for the reporting period by giving consideration to both the credit and portions of OTTI reported in Other comprehensive income (loss) and recognized in prior periods. For the years ended December 31, 2011 and 2010, the previously reported Total other-than-temporary impairments losses of $418.1 million and $295.4 million was reduced by $176.2 million and $254.6 million, respectively. This change was fully offset by an adjustment to the previously reported Portion of loss recognized in other comprehensive income (loss) of $61.0 million and $163.5 million, respectively. The corrections had no impact on any previously reported Net other-than-temporary credit impairment losses, Net income (loss), Other comprehensive income (loss), Net income (loss) per share available to common shareholders or Consolidated Statements of Cash Flows.

	In the Company’s 2012 Form 10-Q for the period ending March 31, 2012, the Company did not present total OTTI correctly when total cumulative credit losses are greater than total OTTI in the Consolidated Statements of Operations and Comprehensive Income (Loss). Total OTTI losses should be reported net of unrealized gains on a security when they occur in the same period as a credit loss. The previously reported total OTTI and portion of loss recognized in OCI for three month period ending March 31, 2012 of $57.0 million and $8.6 million, respectively, were reduced by $24.9 million. Additionally, the Company noted an error in the presentation of reclassification items within Comprehensive income (loss) in the Consolidated Statements of Operations and Comprehensive Income (Loss) for the quarter ended March 31, 2012. This error would result in a reduction of $47.1 million between Unrealized gains (losses) on available-for-sale securities, net, an increase in Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses of $62.6 million and a reduction in Reclassification adjustment for net realized losses (gains) included in net income (loss) of $15.5 million. These adjustments are solely between the components of Accumulated other comprehensive income (loss) and have no impact on Total stockholders’ equity. The errors noted related to the financial statements for the period ended March 31, 2012 will be corrected in the Company’s future filings that presents such information. The fiscal year ended December 31, 2012 reflects the correction of the March 31, 2012 errors. The correction had no impact on any previously reported Net other-than-temporary credit impairment losses, Net income (loss), Other comprehensive income (loss), Net income (loss) per share available to common shareholders or Consolidated Statements of Cash Flows.

Residential_MortgageBacked_Sec1

Residential Mortgage-Backed Securities (Tables)	12 Months Ended
Residential Mortgage-Backed Securities (Tables)	Dec. 31, 2012
Schedule of Available-for-sale Securities Reconciliation	'
	The following tables present the principal or notional value, total premium, total discount, amortized cost, fair value, gross unrealized gains, gross unrealized losses, and net unrealized gain (loss) related to the Company’s available-for-sale RMBS portfolio as of December 31, 2012 and 2011, by asset class.
	31-Dec-12
	(dollars in thousands)

				Principal or				Total				Total				Amortized				Fair Value				Gross				Gross				Net
				Notional				Premium				Discount				Cost								Unrealized				Unrealized				Unrealized
				Value																				Gains				Losses				Gain/(Loss)
	Non-Agency RMBS
		Senior		$	126			$	-			$	(54	)		$	72			$	88			$	16			$	-			$	16
		Senior interest-only			3,012,868				135,868				-				135,868				122,869				7,976				(20,975	)			(12,999	)
		Subordinated			1,057,821				-				(584,772	)			473,049				547,794				81,492				(6,747	)			74,745
		Subordinated interest-only			256,072				16,180				-				16,180				16,253				1,466				(1,393	)			73
		RMBS transferred to consolidated variable interest entities ("VIEs")			4,610,109				8,955				(2,088,125	)			2,437,048				3,274,204				837,353				(197	)			837,156
	Agency RMBS				1,756,580				51,502				-				1,720,595				1,806,697				86,419				(317	)			86,102
	Total			$	10,693,576			$	212,505			$	(2,672,951	)		$	4,782,812			$	5,767,905			$	1,014,722			$	(29,629	)		$	985,093


	31-Dec-11
	(dollars in thousands)

				Principal or				Total				Total				Amortized				Fair Value				Gross				Gross				Net
				Notional				Premium				Discount				Cost								Unrealized				Unrealized				Unrealized
				Value																				Gains				Losses				Gain/(Loss)
	Non-Agency RMBS
		Senior		$	1,115			$	-			$	(56	)		$	1,059			$	1,020			$	2			$	(41	)		$	(39	)
		Senior interest-only			3,734,452				199,288				-				199,288				188,679				11,308				(21,917	)			(10,609	)
		Subordinated			1,378,891				-				(724,739	)			654,152				606,895				30,997				(78,254	)			(47,257	)
		Subordinated interest-only			277,560				21,910				-				21,910				22,019				1,663				(1,554	)			109
		RMBS transferred to consolidated variable interest entities ("VIEs")			5,265,128				19,869				(2,382,995	)			2,902,002				3,270,332				420,505				(52,175	)			368,330
	Agency RMBS				3,018,347				90,403				(159	)			3,027,285				3,144,531				117,601				(355	)			117,246
	Total			$	13,675,493			$	331,470			$	(3,107,949	)		$	6,805,696			$	7,233,476			$	582,076			$	(154,296	)		$	427,780
Schedule of Changes in Accretable Yield	'
	The table below presents changes in Accretable Yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.

			For the Year Ended
			31-Dec-12				31-Dec-11
			(dollars in thousands)
	Balance at beginning of period		$	2,342,462			$	2,521,723
	Purchases			86,847				139,347
	Accretion			(364,282	)			(392,779	)
	Reclassification (to) from non-accretable difference			64,017				127,978
	Sales			(21,657	)			(53,807	)
	Balance at end of period		$	2,107,387			$	2,342,462
Schedule of Non-Agency RMBS Having Deteriorated Credit When Acquired	'
	The table below presents the outstanding principal balance and related amortized cost for the years ended December 31, 2012 and 2011 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.

			For the Year Ended
			31-Dec-12				31-Dec-11
			(dollars in thousands)
	Outstanding principal balance:
	Beginning of period		$	5,245,184			$	5,264,486
	End of period		$	4,508,475			$	5,245,184

	Amortized cost:
	Beginning of period		$	2,649,303			$	2,761,672
	End of period		$	2,268,751			$	2,649,303
Schedule of Temporary Impairment Losses, Investments	'
	The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2012 and 2011. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d).

	31-Dec-12
	(dollars in thousands)

				Unrealized Loss Position for Less than 12 Months												Unrealized Loss Position for 12 Months or More																Total
				Estimated				Unrealized				Number of Securities				Estimated				Unrealized				Number of Securities				Estimated Fair Value				Unrealized				Number of Securities
				Fair Value				Losses				Number of Securities				Fair Value				Losses				Number of Securities				Estimated Fair Value				Losses				Number of Securities
	Non-Agency RMBS
		Senior		$	-			$	-				-			$	-			$	-				-			$	-			$	-				-
		Senior interest-only			17,764				(2,828	)			12				52,920				(18,147	)			26				70,684				(20,975	)			38
		Subordinated			-				-				-				54,774				(6,747	)			5				54,774				(6,747	)			5
		Subordinated interest-only			-				-				-				9,659				(1,393	)			1				9,659				(1,393	)			1
		RMBS transferred to consolidated VIEs			-				-				-				22,490				(197	)			1				22,490				(197	)			1
	Agency RMBS				234				(76	)			2				993				(241	)			2				1,227				(317	)			4
	Total			$	17,998			$	(2,904	)			14			$	140,836			$	(26,725	)			35			$	158,834			$	(29,629	)			49

	31-Dec-11
	(dollars in thousands)


				Unrealized Loss Position for Less than 12 Months												Unrealized Loss Position for 12 Months or More																	Total
				Estimated				Unrealized				Number of Securities				Estimated				Unrealized				Number of Securities				Estimated Fair Value				Unrealized Losses				Number of Securities
				Fair Value				Losses				Number of Securities				Fair Value				Losses				Number of Securities				Estimated Fair Value				Unrealized Losses				Number of Securities
	Non-Agency RMBS
		Senior		$	-			$	-				-			$	127			$	(41	)			1			$	127			$	(41	)			1
		Senior interest-only			99,351				(18,756	)			26				17,647				(3,161	)			12				116,998				(21,917	)			38
		Subordinated			321,416				(52,824	)			33				111,167				(25,430	)			17				432,583				(78,254	)			50
		Subordinated interest-only			16,300				(1,554	)			2				-				-				-				16,300				(1,554	)			2
		RMBS transferred to consolidated VIEs			-				-				-				594,369				(52,175	)			18				594,369				(52,175	)			18
	Agency RMBS				3,888				(355	)			2				-				-				-				3,888				(355	)			2
	Total			$	440,955			$	(73,489	)			63			$	723,310			$	(80,807	)			48			$	1,164,265			$	(154,296	)			111
Other than Temporary Impairment, Credit Losses Recognized in Earnings	'
	A summary of the OTTI included in earnings for the years ended December 31, 2012 and 2011 is presented below. Refer to Note 17 for additional details regarding prior year OTTI.

							For the Year Ended
			31-Dec-12				31-Dec-11				31-Dec-10
							(dollars in thousands)
	Total other-than-temporary impairment losses		$	(47,632	)		$	(241,962	)		$	(40,833	)
	Portion of loss recognized in other comprehensive income (loss)			(84,618	)			(115,143	)			(91,012	)
	Net other-than-temporary credit impairment losses		$	(132,250	)		$	(357,105	)		$	(131,845	)

	The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI.

								For the Year Ended
				31-Dec-12				31-Dec-11				31-Dec-10
								(dollars in thousands)
	Cumulative credit loss beginning balance			$	452,060			$	237,746			$	128,582
	Additions:
		Other-than-temporary impairments not previously recognized			98,324				268,795				55,772
		Reductions for securities sold during the period			(34,577	)			(1,300	)			(9,704	)
		Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments		33,926					88,310				76,073
		Reductions for increases in cash flows expected to be collected over the remaining life of the securities		(39,644		)			(141,491	)			(12,977	)
	Cumulative credit impairment loss ending balance			$	510,089			$	452,060			$	237,746

Other than Temporary Impairment of Investments Recorded in Earnings, Significant Inputs and Assumptions	'
	The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS are summarized as follows:

			For the Year Ended
			31-Dec-12	31-Dec-11

	Loss Severity
		Weighted Average	52%	59%
		Range	39% - 63%	34% - 97%

	60+ days delinquent
		Weighted Average	19%	30%
		Range	12% - 34%	0% - 68%

	Credit Enhancement (1)
		Weighted Average	17%	10%
		Range	0% - 59%	0% - 91%

	3 Month CPR
		Weighted Average	14%	15%
		Range	1% - 22%	0% - 83%

	12 Month CPR
		Weighted Average	22%	16%
		Range	10% - 27%	4% - 56%

	(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.
Summary of Unrealized Gains and Losses on RMBS	'
	The following tables present a summary of unrealized gains and losses at December 31, 2012 and 2011. Interest-only RMBS included in the tables below represent the right to receive a specified proportion of the contractual interest cash flows of the underlying principal balance of specific securities. At December 31, 2012, interest-only RMBS had a net unrealized loss of $4.8 million and had an amortized cost of $166.0 million. At December 31, 2011, interest-only RMBS had a net unrealized loss of $5.7 million and had an amortized cost of $237.8 million. The fair value of IOs at December 31, 2012 and 2011 was $161.2 million, and $232.1 million, respectively. All changes in fair value of IOs are reflected in Net income (loss).

	31-Dec-12
	(dollars in thousands)

				Gross Unrealized Gain				Gross Unrealized Gain				Total Gross				Gross Unrealized Loss				Gross Unrealized Loss				Total Gross
				Included in Accumulated				Included in Accumulated				Unrealized Gain				Included in Accumulated				Included in Accumulated				Unrealized Loss
				Other Comprehensive				Deficit								Other Comprehensive				Deficit
				Income												Income
	Non-Agency RMBS
		Senior		$	13			$	-			$	16			$	-			$	-			$	-
		Senior interest-only			-				7,977				7,976				-				(20,975	)			(20,975	)
		Subordinated			81,490				-				81,492				(6,747	)			-				(6,747	)
		Subordinated interest-only			-				1,467				1,466				-				(1,393	)			(1,393	)
		RMBS transferred to consolidated VIEs			829,315				8,045				837,353				(197	)			-				(197	)
	Agency RMBS				86,062				357				86,419				-				(317	)			(317	)
	Total			$	996,880			$	17,846			$	1,014,722			$	(6,944	)		$	(22,685	)		$	(29,629	)

	31-Dec-11
	(dollars in thousands)

				Gross Unrealized Gain				Gross Unrealized Gain				Total Gross				Gross Unrealized Loss				Gross Unrealized Loss				Total Gross
				Included in Accumulated				Included in Accumulated				Unrealized Gain				Included in Accumulated				Included in				Unrealized Loss
				Other Comprehensive				Deficit								Other Comprehensive				Accumulated
				Income												Income				Deficit
	Non-Agency RMBS
		Senior		$	2			$	-			$	2			$	(41	)		$	-			$	(41	)
		Senior interest-only			-				11,308				11,308				-				(21,917	)			(21,917	)
		Subordinated			30,997				-				30,997				(78,254	)			-				(78,254	)
		Subordinated interest-only			-				1,663				1,663				-				(1,554	)			(1,554	)
		RMBS transferred to consolidated VIEs			415,688				4,817				420,505				(52,175	)			-				(52,175	)
	Agency RMBS				117,236				365				117,601				-				(355	)			(355	)
	Total			$	563,923			$	18,153			$	582,076			$	(130,470	)		$	(23,826	)		$	(154,296	)

Residential Mortgage-Backed Securities, Collateral Characteristics	'
	The following tables provide a summary of the Company’s RMBS portfolio at December 31, 2012 and 2011.

			31-Dec-12																				31-Dec-11

			Principal or Notional Value at Period-End				Weighted Average Amortized Cost Basis				Weighted Average Fair Value				Weighted Average Coupon								Principal or Notional Value at Period-End				Weighted Average Amortized Cost Basis				Weighted Average Fair Value				Weighted Average Coupon			Weighted Average Yield at Period-End
			(dollars in thousands)																Weighted Average Yield at Period-End				(dollars in thousands)															-1
																			-1
	Non-Agency Mortgage-Backed Securities
	Senior		$	126			$	57.02			$	67				0	%			11.9	%		$	1,115			$	95.13			$	91.55				1.02	%		2.95	%
	Senior, interest only		$	3,012,868			$	4.51			$	4.08				1.76	%			10.36	%		$	3,734,452			$	5.34			$	5.05				1.96	%		13.28	%
	Subordinated		$	1,057,821			$	44.72			$	51.79				3.18	%			11.07	%		$	1,378,891			$	47.44			$	44.01				3.44	%		9.57	%
	Subordinated, interest only		$	256,072			$	6.32			$	6.35				2.25	%			8.9	%		$	277,560			$	7.89			$	7.93				2.94	%		9.93	%
	RMBS transferred to consolidated variable interest entities		$	4,610,109			$	53.96			$	72.5				4.88	%			15.44	%		$	5,265,128			$	55.14			$	62.11				5.32	%		14.56	%
	Agency Mortgage-Backed Securities		$	1,756,580			$	103.09			$	108.24				4.65	%			3.59	%		$	3,018,347			$	103.07			$	107.06				4.66	%		3.83	%

	(1) Bond Equivalent Yield at period end.
Credit Ratings Of Residential Mortgage-Backed Securities	'
	The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at December 31, 2012 and 2011.

		31-Dec-12	31-Dec-11
	AAA	0.01%	0.53%
	AA	0.46%	0.14%
	A	0.00%	0.45%
	BBB	0.00%	1.54%
	BB	1.41%	0.00%
	B	1.19%	0.43%
	Below B or not rated	96.93%	96.91%
	Total	100.00%	100.00%
Schedule of Mortgage-Backed Securities by Estimated Weighted Average Life Classification	'
	The following tables provide a summary of the fair value and amortized cost of the Company’s RMBS at December 31, 2012 and 2011 according to their estimated weighted-average life classifications. The weighted-average lives of the RMBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency RMBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.

	31-Dec-12
	(dollars in thousands)

				Weighted Average Life

				Less than one year				Greater than one				Greater than five				Greater than ten				Total
								year and less than				years and less				years
								five years				than ten years
	Fair value
		Non-Agency RMBS
		Senior		$	-			$	-			$	88			$	-			$	88
		Senior interest-only			358				47,205				66,927				8,379				122,869
		Subordinated			4,092				23,948				359,310				160,444				547,794
		Subordinated interest-only			-				-				9,658				6,595				16,253
		RMBS transferred to consolidated VIEs			12,118				312,690				2,055,568				893,828				3,274,204
		Agency RMBS			146				1,802,720				3,831				-				1,806,697
	Total fair value			$	16,714			$	2,186,563			$	2,495,382			$	1,069,246			$	5,767,905
	Amortized cost
		Non-Agency RMBS
		Senior		$	-			$	-			$	72			$	-			$	72
		Senior interest-only			657				58,037				70,044				7,130				135,868
		Subordinated			2,649				20,593				318,422				131,385				473,049
		Subordinated interest-only			-				-				11,051				5,129				16,180
		RMBS transferred to consolidated VIEs			11,184				248,699				1,493,647				683,518				2,437,048
		Agency RMBS			157				1,716,964				3,474				-				1,720,595
	Total amortized cost			$	14,647			$	2,044,293			$	1,896,710			$	827,162			$	4,782,812

	31-Dec-11
	(dollars in thousands)

				Weighted Average Life

				Less than one year				Greater than one				Greater than five				Greater than ten				Total
								year and less than				years and less				years
								five years				than ten years
	Fair value
		Non-Agency RMBS
		Senior		$	892			$	-			$	128			$	-			$	1,020
		Senior interest-only			-				85,633				69,204				33,842				188,679
		Subordinated			6,530				101,984				259,549				238,832				606,895
		Subordinated interest-only			-				-				1,812				20,207				22,019
		RMBS transferred to consolidated VIEs			25,375				338,616				2,119,030				787,311				3,270,332
		Agency RMBS			17,932				1,735,106				824,645				566,848				3,144,531
	Total fair value			$	50,729			$	2,261,339			$	3,274,368			$	1,647,040			$	7,233,476
	Amortized cost
		Non-Agency RMBS
		Senior		$	891			$	-			$	168			$	-			$	1,059
		Senior interest-only			-				95,974				69,953				33,361				199,288
		Subordinated			5,616				98,657				300,489				249,390				654,152
		Subordinated interest-only			-				-				1,946				19,964				21,910
		RMBS transferred to consolidated VIEs			32,806				296,144				1,827,000				746,052				2,902,002
		Agency RMBS			17,610				1,663,917				798,632				547,126				3,027,285
	Total amortized cost			$	56,923			$	2,154,692			$	2,998,188			$	1,595,893			$	6,805,696
Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio	'
	The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2012 and 2011.

		31-Dec-12			31-Dec-11
	Weighted average maturity (years)		24.8			25.7
	Weighted average amortized loan to value (1)		71.60%			71.50%
	Weighted average FICO (2)		717.3			718.4
	Weighted average loan balance (in thousands)		$453.10			$469.00
	Weighted average percentage owner occupied		85.10%			85.30%
	Weighted average percentage single family residence		65.50%			65.60%
	Weighted average current credit enhancement		3.10%			4.50%
	Weighted average geographic concentration of top five states	CA	36.70%		CA	38.10%
		FL	8.70%		FL	8.50%
		NY	6.40%		NY	6.10%
		VA	2.40%		NJ	2.70%
		NJ	2.80%		VA	2.40%

	(1) Value represents appraised value of the collateral at the time of loan origination.
	(2) FICO as determined at the time of loan origination.
Schedule of Percentage of Non-Agency RMBS by Year Originated	'
	The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2012 and 2011.

	Origination Year	31-Dec-12	31-Dec-11
	2000	0.20%	0.00%
	2001	0.20%	0.20%
	2002	0.00%	0.00%
	2003	0.40%	0.90%
	2004	0.60%	1.30%
	2005	14.30%	13.80%
	2006	34.60%	31.80%
	2007	46.70%	48.70%
	2008	3.00%	3.30%
	Total	100.00%	100.00%

Securitized_Loans_Held_for_Inv1

Securitized Loans Held for Investment (Tables)	12 Months Ended
Securitized Loans Held for Investment (Tables)	Dec. 31, 2012
Summary of Changes in Carrying Value of Securitized Loans Held for Investment	'
	The following table provides a summary of the changes in the carrying value of securitized loans held for investment at December 31, 2012 and 2011:

			31-Dec-12				31-Dec-11
			(dollars in thousands)

	Balance, beginning of period		$	256,632			$	349,112
	Purchases			1,531,014				-
	Principal paydowns			(477,555	)			(85,526	)
	Net periodic amortization (accretion)			(9,592	)			(1,663	)
	Change to loan loss provision			(368	)			(5,291	)
	Balance, end of period		$	1,300,131			$	256,632
Schedule of Securitized Loans Held for Investment Amortized Cost	'
	The following table represents the Company’s securitized residential mortgage loans classified as held for investment at December 31, 2012 and 2011:

			31-Dec-12				31-Dec-11
			(dollars in thousands)

	Securitized loans, at amortized cost		$	1,311,755			$	270,570
	Less: allowance for loan losses			11,624				13,938
	Securitized loans held for investment		$	1,300,131			$	256,632
Schedule of Securitized Loans Held for Investment Key Characteristics of Underlying Collateral	'
	A summary of key characteristics of these loans follows.

		31-Dec-12			31-Dec-11
	Number of loans		1,618			392
	Weighted average maturity (years)		28.3			25.8
	Weighted average loan to value (1)		71.20%			75.50%
	Weighted average FICO (2)		768			752
	Weighted average loan balance (in thousands)		$794.10			$684.00
	Weighted average percentage owner occupied		94.60%			91.10%
	Weighted average percentage single family residence		70.60%			58.10%
	Weighted average geographic concentration of top five states	CA	38.10%		CA	36.00%
		VA	6.30%		FL	6.10%
		NY	6.30%		AZ	5.80%
		WA	5.20%		NJ	5.40%
		NJ	4.60%		IL	5.30%

	(1) Value represents appraised value of the collateral at the time of loan origination.
	(2) FICO as determined at the time of loan origination.
Summary of Allowance for Losses	'
	The following table summarizes the changes in the allowance for loan losses for the securitized mortgage loan portfolio for the years ended December 31, 2012, 2011 and 2010:

						For the Year Ended

			31-Dec-12				31-Dec-11			31-Dec-10
			(dollars in thousands)

	Balance, beginning of period		$	13,938			$	11,006		$	4,551
	Provision for loan losses			368				5,291			7,109
	Charge-offs			(2,682	)			(2,359	)		(654	)
	Balance, end of period		$	11,624			$	13,938		$	11,006
Schedule of Loans Greater Than 30 Days Delinquent	'
	The following table summarizes the outstanding principal balance of loans 30 days delinquent and greater as reported by the servicer at December 31, 2012 and 2011.

		30 Days	60 Days	90+ Days	Bankruptcy	Foreclosure	REO	Total
		Delinquent	Delinquent	Delinquent	Bankruptcy	Foreclosure	REO	Total
	(dollars in thousands)
	31-Dec-12	$3,110	$1,186	$4,045	$0	$4,247	$1,390	$13,978
	31-Dec-11	$1,342	$1,828	$2,338	$1,659	$3,626	$5,201	$15,994
Schedule of Loans Modified	'
	The following table presents the loans that were modified by the servicer during the year ended December 31, 2012 and 2011.

		Number of Loans	Unpaid Principal	Unpaid Principal	Amortized Cost of	Amortized Cost of	Amortized Cost of Modified
		Modified During	Balance of Modified	Balance of Modified	Modified Loans	Modified Loans For Which	Loans For Which There is
		Period	Loans (Pre-	Loans (Post-		There is an Allowance for	No Allowance for Loan
			modification)	modification)		Loan Losses	Losses
	(dollars in thousands)
	Year Ended
	31-Dec-12	9	$5,163	$5,312	$5,256	$5,256	$0
	31-Dec-11	7	$5,496	$5,867	$5,931	$5,931	$0

Fair_Value_Measurements_Tables

Fair Value Measurements (Tables)	12 Months Ended
Fair Value Measurements (Tables)	Dec. 31, 2012
Fair Value, Measurement Inputs, Disclosure	'
	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2012 and 2011 is presented below.

	31-Dec-12
				Level 1				Level 2				Level 3
				(dollars in thousands)
	Assets:
	Non-Agency RMBS
		Senior		$	-			$	-			$	88
		Senior interest-only			-				-				122,869
		Subordinated			-				-				547,794
		Subordinated interest-only			-				-				16,253
		RMBS transferred to consolidated VIEs			-				-				3,274,204
	Agency mortgage-backed securities				-				1,806,697				-

	Liabilities:
	Interest rate swaps				-				53,939				-
	Total			$	-			$	1,860,636			$	3,961,208

	31-Dec-11
				Level 1				Level 2				Level 3
				(dollars in thousands)
	Assets:
	Non-Agency RMBS
		Senior		$	-			$	-			$	1,020
		Senior interest-only			-				-				188,679
		Subordinated			-				-				606,895
		Subordinated interest-only			-				-				22,019
		RMBS transferred to consolidated VIEs			-				-				3,270,332
	Agency mortgage-backed securities				-				3,144,531				-

	Liabilities:
	Interest rate swaps				-				44,467				-
	Total			$	-			$	3,188,998			$	4,088,945
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation	'
	The table below provides a summary of the changes in the fair value of securities classified as Level 3.

	Fair Value Reconciliation, Level 3
	(dollars in thousands)

			For the Year Ended

			31-Dec-12				31-Dec-11
	Non-Agency RMBS
	Beginning balance Level 3 assets		$	4,088,945			$	5,529,109
	Transfers in to Level 3 assets			-				-
	Transfers out of Level 3 assets			-				-
	Purchases			122,509				446,207
	Principal payments			(516,370	)			(695,277	)
	Sales			(328,261	)			(631,642	)
	Accretion of purchase discounts			98,804				81,224
	Gains (losses) included in net income
	Other than temporary credit impairment losses			(132,250	)			(357,105	)
	Realized gains (losses) on sales			48,435				445
	Net unrealized gains (losses) on interest-only RMBS			804				(14,717	)
	Gains (losses) included in other comprehensive income
	Total unrealized gains (losses) for the period			578,592				(269,299	)
	Ending balance Level 3 assets		$	3,961,208			$	4,088,945
Fair Value Measurements, Significant Unobservable Inputs	'
	A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS as of December 31, 2012 follows:

			31-Dec-12

			Significant Inputs
			Weighted	Prepayment	Cumulative	Loss Severity
			Average Discount	Speed (CPR)	Default Rate
			Rate
				Range
	Non-Agency RMBS
		Senior	7.50%	11% - 11%	0% - 3%	50% - 58%
		Senior interest-only	13.90%	1% - 25%	0% - 25%	50% - 85%
		Subordinated	25.90%	1% - 18%	0% - 21%	50% - 85%
		Subordinated interest-only	13.30%	4% - 11%	0% - 21%	50% - 68%
		RMBS transferred to consolidated VIEs	5.80%	1% - 15%	0% - 36%	50% - 85%

Fair Value, by Balance Sheet Grouping	'
	The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments at December 31, 2012 and 2011. The level in the fair value hierarchy in the table below refers to December 31, 2012.

						31-Dec-12								31-Dec-11
			Level in Fair			Carrying				Fair Value				Carrying			Fair Value
			Value			Amount								Amount
			Hierarchy
			(dollars in thousands)
	Non-Agency RMBS		3			$	3,961,208			$	3,961,208			$	4,088,945		$	4,088,945
	Agency RMBS		2				1,806,697				1,806,697				3,144,531			3,144,531
	Securitized loans held for investment		3				1,300,131				1,320,696				256,632			237,977
	Repurchase agreements		2				(1,528,025	)			(1,531,511	)			(2,672,989	)		(2,677,402	)
	Securitized debt, collateralized by Non-Agency RMBS		3				(1,336,261	)			(1,334,551	)			(1,630,276	)		(1,546,237	)
	Securitized debt, collateralized by loans held for investment		3				(1,169,710	)			(1,194,747	)			(212,778	)		(222,921	)
	Interest rate swaps		2				(53,939	)			(53,939	)			(44,467	)		(44,467	)

Repurchase_Agreements_Tables

Repurchase Agreements (Tables)	12 Months Ended
Repurchase Agreements (Tables)	Dec. 31, 2012
Schedule of Repurchase Agreements	'
	At December 31, 2012 and 2011, the repurchase agreements collateralized by Agency RMBS had the following remaining maturities.

		31-Dec-12		31-Dec-11
		(dollars in thousands)
	Overnight	$	-	$	-
	1-29 days		732,809		1,368,945
	30 to 59 days		325,915		836,007
	60 to 89 days		-		-
	90 to 119 days		211,137		171,836
	Greater than or equal to 120 days		258,164		296,201
	Total	$	1,528,025	$	2,672,989

Securitized_Debt_Tables

Securitized Debt (Tables)	12 Months Ended
Securitized Debt (Tables)	Dec. 31, 2012
Schedule of Maturities of Long-term Debt	'
	The following table presents the estimated principal repayment schedule of the securitized debt at December 31, 2012 and 2011, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.

		31-Dec-12		31-Dec-11
		(dollars in thousands)
	Within One Year	$	658,423	$	488,886
	One to Three Years		793,150		598,921
	Three to Five Years		430,993		276,965
	Greater Than or Equal to Five Years		555,717		404,386
	Total	$	2,438,283	$	1,769,158

Consolidated_Securitization_Ve1

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	12 Months Ended
	Dec. 31, 2012
Schedule of Consolidated Securitization Entities on Financial Condition	'
	The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2012 and 2011.

		31-Dec-12			31-Dec-11
		(dollars in thousands)
	Assets
	Non-Agency RMBS transferred to consolidated VIEs	$	3,274,204		$	3,270,332
	Securitized loans held for investment		1,300,131			256,632
	Accrued interest receivable		24,082			26,616
	Liabilities
	Securitized debt, collateralized by Non-Agency RMBS	$	1,336,261		$	1,630,276
	Securitized debt, collateralized by loans held for investment		1,169,710			212,778
	Accrued interest payable		8,358			8,130

Schedule of Consolidated Variable Interest Entities Effects on Operating Results	'
	Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations and Comprehensive Income (Loss) is presented in the table below.

					For the Year Ended
		31-Dec-12			31-Dec-11			31-Dec-10
		(dollars in thousands)
	Interest income, Assets of consolidated VIEs	$	417,351		$	450,996		$	472,740
	Interest expense, Non-recourse liabilities of VIEs		(115,880	)		(122,917	)		(138,699	)
	Net interest income	$	301,471		$	328,079		$	334,041

	Total other-than-temporary impairment losses	$	(7,619	)	$	(113,047	)	$	(19,583	)
	Portion of loss recognized in other comprehensive income (loss)		(76,699	)	$	(145,512	)	$	(68,407	)
	Net other-than-temporary credit impairment losses	$	(84,318	)	$	(258,559	)	$	(87,990	)
Schedule of Consolidated Variable Interest Entities Effects on Cash Flows	'
	The amounts recorded on the Consolidated Statements of Cash Flows related to consolidated VIEs is presented in the table below for the periods presented.


					For the Year Ended
		31-Dec-12			31-Dec-11			31-Dec-10
		(dollars in thousands)
	Amortization of deferred financing costs		8,546		$	1,733			1,499
	Accretion (amortization) of securitized debt discounts/premiums, net		6,985			12,551			16,655
	Payment of deferred financing costs		(9,488	)		-			(5,039	)
	Principal payments, Non-Agency RMBS transferred to consolidated VIE's		505,779			668,924			619,795
	Principal payments, Securitized loans held for investment		477,555			85,526			113,330
	Proceeds from securitized debt borrowings, collateralized by loans held for investment		1,426,983			-			-
	Payments on securitized debt borrowings, collateralized by loans held for investment		(470,788	)		(80,181	)		(106,186	)
	Proceeds from securitized debt borrowings, collateralized by Non-Agency RMBS		181,201			310,972			1,295,657
	Payments on securitized debt borrowings, collateralized by Non-Agency RMBS		(481,464	)		(645,603	)		(574,399	)
	Decrease (increase) in accrued interest receivable		2,534			(4,832	)		27,986
	Increase (decrease) in accrued interest payable		228			(1,836	)		8,032
	Net cash provided by/(used in) consolidated VIEs	$	1,648,071		$	347,254		$	1,397,330

Schedule of Non-Consolidated Variable Interest Entities Effects on Financial Condition	'
	The table below represents the carrying amounts and classification of assets recorded on the Company’s consolidated financial statements related to its variable interests in non-consolidated VIEs, as well as its maximum exposure to loss as a result of its involvement with these VIEs, which is represented by the fair value of the Company’s investments in the trusts.

		31-Dec-12						31-Dec-11
		Amortized Cost			Fair Value			Amortized Cost			Fair Value
		(dollars in thousands)
	Assets
	Non-Agency RMBS
	Senior	$	72		$	85		$	168		$	127
	Senior interest-only		-			128			128			266
	Subordinated		581			2,266			4,651			4,858
	Agency RMBS		1,198			1,001			1,890			2,273
	Total	$	1,851		$	3,480		$	6,837		$	7,524

Interest_Rate_Swaps_Tables

Interest Rate Swaps (Tables)	12 Months Ended
Interest Rate Swaps (Tables)	Dec. 31, 2012
Schedule of Interest Rate Derivatives - Location, Amounts, and Netting	'
	The table below summarizes the location and fair value of interest rate swaps reported in the Consolidated Statements of Financial Condition as of December 31, 2012 and 2011.

		Location on Consolidated		Notional Amount			Net Estimated Fair				Net Estimated Fair Value
		Statements of Financial					Value/Carrying Value				of Agency RMBS
		Condition									Pledged as Collateral
	(dollars in thousands)
	31-Dec-12	Liabilities		$	1,355,000		$	(53,939	)		$	60,382
	31-Dec-11	Liabilities		$	950,000		$	(44,467	)		$	46,647

	The effect of the Company’s interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income is presented below.

			Location on Consolidated Statements of Operations and
			Comprehensive Income (Loss)
			Net Unrealized Gains (Losses)			Net Realized Gains (Losses)
			on Interest Rate Swaps			on Interest Rate Swaps
			(dollars in thousands)
	For the Year Ended:
	31-Dec-12		$	(9,473	)	$	(20,223	)
	31-Dec-11		$	(34,478	)	$	(15,929	)
	31-Dec-10		$	(9,989	)	$	(5,788	)

	The weighted average pay rate on the Company’s interest rate swaps at December 31, 2012 was 1.81% and the weighted average receive rate was 0.21%. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2011 was 2.08% and the weighted average receive rate was 0.29%. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2010 was 2.59% and the weighted average receive rate was 0.26%.

	The following table summarizes the notional amounts and unrealized gains (losses) of interest rate swap contracts on a gross basis, amounts offset in accordance with netting arrangements and net amounts as presented in the Consolidated Statements of Financial Condition as of December 31, 2012 and 2011.

			31-Dec-12
			Interest Rate Swaps - Asset							Interest Rate Swaps - Liability
			Notional			Unrealized Gains				Notional			Unrealized Losses
			(dollars in thousands)
	Gross Amounts		$	-		$	-			$	1,355,000		$	53,939
	Amounts Offset			-			-				-			-
	Netted Amounts		$	-		$	-			$	1,355,000		$	53,939

			31-Dec-11
			Interest Rate Swaps - Asset							Interest Rate Swaps - Liability
			Notional			Unrealized Gains				Notional			Unrealized Losses
			(dollars in thousands)
	Gross Amounts		$	-		$	-			$	950,000		$	44,467
	Amounts Offset			-			-				-			-
	Netted Amounts		$	-		$	-			$	950,000		$	44,467

Common_Stock_Tables

Common Stock (Tables)	12 Months Ended
Common Stock (Tables)	Dec. 31, 2012
Schedule of Earnings Per Share	'
	Earnings per share for the years ended December 31, 2012 and 2011, respectively, is computed as follows:

				For the Year Ended
		31-Dec-12		31-Dec-11		31-Dec-10
		(dollars in thousands)
	Numerator:
	Net income	$	327,767	$	137,329	$	248,405
	Effect of dilutive securities:		-		-		-
	Dilutive net income available to stockholders	$	327,767	$	137,329	$	248,405

	Denominator:
	Weighted average basic shares		1,026,831,033		1,026,365,197		821,675,803
	Effect of dilutive securities		668,222		806,190		941,516
	Weighted average dilutive shares		1,027,499,255		1,027,171,387		822,617,319

	Net income per average share attributable to common stockholders - Basic	$	0.32	$	0.13	$	0.3
	Net income per average share attributable to common stockholders - Diluted	$	0.32	$	0.13	$	0.3

Long_Term_Incentive_Plan_Table

Long Term Incentive Plan (Tables)	12 Months Ended
Long Term Incentive Plan (Tables)	Dec. 31, 2012
FIDAC Employees, Restricted Stock Awards Activity	'
	The following table presents information with respect to the Company’s restricted stock awards during the years ended December 31, 2012 and 2011:

		For the Year Ended
		31-Dec-12					31-Dec-11
		Number of Shares			Weighted Average		Number of Shares			Weighted Average
					Grant Date Fair					Grant Date Fair
					Value					Value
	Unvested shares outstanding - beginning of period		758,400			17.72		884,800			17.72
	Granted		111,528			2.69		98,544			2.74
	Vested		(264,232	)		17.72		(222,994	)		11.16
	Forfeited		(19,696	)		17.72		(1,950	)		17.72
	Unvested shares outstanding - end of period		586,000			17.72		758,400			17.72

Restatements_and_Summarized_Qu1

Restatements and Summarized Quarterly Results (Unaudited) (Tables)	12 Months Ended
	Dec. 31, 2012
Schedule of Quarterly Financial Information	'
	The following is a presentation of the results of operations for the quarters ended December 31, 2012, September 30, 2012, June 30, 2012 and March 31, 2012. The amounts below reflect the impact of the immaterial restatement as described above.

		31-Dec-12			30-Sep-12			30-Jun-12			31-Mar-12
		(dollars in thousands, except per share date)
	Net Interest Income:
	Interest income	$	133,552		$	144,696		$	161,524		$	149,668
	Less interest expense		(33,874	)		(34,356	)		(21,953	)		(36,375	)
	Net interest income (expense)		99,678			110,340			139,571			113,293
	Other-than-temporary impairments:
	Total other-than-temporary impairment losses		(368	)		(2,713	)		(12,474	)		(32,077	)
	Portion of loss recognized in other comprehensive income (loss)		(7,817	)		(7,301	)		(53,213	)		(16,287	)
	Net other-than-temporary credit impairment losses		(8,185	)		(10,014	)		(65,687	)		(48,364	)
	Net gains (losses) on interest rate swaps		(199	)		(9,725	)		(16,186	)		(3,586	)
	Net unrealized gains (losses) on interest-only RMBS		811			(15,393	)		(2,532	)		17,947
	Net realized gains (losses) on sales of investments		1			69,155			-			16,010
	Total other expenses		13,422			16,295			14,385			15,065
	Net income (loss)	$	78,685		$	128,068		$	40,781		$	80,233
	Net income (loss) per share-basic and diluted	$	0.08		$	0.12		$	0.04		$	0.08

	The following is a presentation of the results of operations for the quarters ended December 31, 2011, September 30, 2011, June 30, 2011 and March 31, 2011. The amounts below reflect the impact of the Restatement and immaterial restatement as described above.

		31-Dec-11			30-Sep-11			30-Jun-11			31-Mar-11
		(dollars in thousands, except per share date)
	Net Interest Income:
	Interest income	$	167,541		$	185,581		$	179,859		$	172,043
	Less interest expense		(30,696	)		(32,792	)		(35,793	)		(35,577	)
	Net interest income (expense)		136,845			152,789			144,066			136,466
	Other-than-temporary impairments:
	Total other-than-temporary impairment losses		(80,038	)		(78,950	)		(57,926	)		(25,048	)
	Portion of loss recognized in other comprehensive income (loss)		(31,154	)		(71,610	)		(4,244	)		(8,135	)
	Net other-than-temporary credit impairment losses		(111,192	)		(150,560	)		(62,170	)		(33,183	)
	Net gains (losses) on interest rate swaps		(3,782	)		(29,812	)		(23,797	)		6,984
	Net unrealized gains (losses) on interest-only RMBS		(12,934	)		(17,600	)		11,883			4,106
	Net realized gains (losses) on sales of investments		52,566			58			(913	)		2,642
	Total other expenses		18,794			15,082			14,972			15,679
	Net income (loss)	$	42,748		$	(60,036	)	$	53,979		$	100,638
	Net income (loss) per share-basic and diluted	$	0.04		$	(0.06	)	$	0.05		$	0.1

Organization_Narrative_Detail

Organization - Narrative (Detail)	12 Months Ended
Organization - Narrative (Detail)	Dec. 31, 2012
Organization, Consolidation and Presentation of Financial Statements Disclosure [Line Items]	'
Percentage of the Company's common shares owned by Annaly Capital Management, Inc.	4.38%
Company manager	'Fixed Income Discount Advisory Company
Nature of relationship	'FIDAC is a wholly-owned subsidiary of Annaly

Significant_Accounting_Policie

Significant Accounting Policies - Narrative (Detail) (USD $)	3 Months Ended								12 Months Ended
	Dec. 31, 2012	Sep. 30, 2012	Jun. 30, 2012	Mar. 31, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Mar. 31, 2011	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Summary Of Significant Accounting Policies [Line Items]	'	'	'	'	'	'	'	'	'	'	'
Interest income	$133,552,000	$144,696,000	$161,524,000	$149,668,000	$167,541,000	$185,581,000	$179,859,000	$172,043,000	$172,089,000	$254,028,000	$103,360,000
Securitized Loans [Member]	'	'	'	'	'	'	'	'	'	'	'
Summary Of Significant Accounting Policies [Line Items]	'	'	'	'	'	'	'	'	'	'	'
Principal balance of debt	2,500,000,000	'	'	'	1,900,000,000	'	'	'	2,500,000,000	1,900,000,000	'
Residential Mortgage-Backed Securities [Member] \| Interest-Only RMBS [Member]	'	'	'	'	'	'	'	'	'	'	'
Summary Of Significant Accounting Policies [Line Items]	'	'	'	'	'	'	'	'	'	'	'
Interest income	'	'	'	'	'	'	'	'	$23,100,000	$32,500,000	$18,800,000

Residential_MortgageBacked_Sec2

Residential Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	'	'
Investment Holdings [Line Items]	'	'
RMBS held by re-securitization trusts, at fair value	$3,274,204,000	$3,270,332,000
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality [Member]	'	'
Investment Holdings [Line Items]	'	'
Percentage in Alt-A collateral	99.50%	97.40%
Non-Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross unrealized loss	29,300,000	153,900,000
Non-Agency RMBS [Member] \| Interest-Only RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Interest-only RMBS, net unrealized loss	4,800,000	5,700,000
Amortized cost	166,000,000	237,800,000
Fair value	$161,200,000	$232,100,000

Residential_MortgageBacked_Sec3

Residential Mortgage-Backed Securities - Summary (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Investment Holdings [Line Items]	'	'
Principal or Notional Value	$10,693,576	$13,675,493
Total Premium	212,505	331,470
Total Discount	-2,672,951	-3,107,949
Amortized cost	4,782,812	6,805,696
Fair Value	5,767,905	7,233,476
Gross Unrealized Gains	1,014,722	582,076
Gross Unrealized Losses	-29,629	-154,296
Net Unrealized Gain/(Loss)	985,093	427,780
Non-Agency RMBS - Senior [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	126	1,115
Total Discount	-54	-56
Amortized cost	72	1,059
Fair Value	88	1,020
Gross Unrealized Gains	16	2
Gross Unrealized Losses	'	-41
Net Unrealized Gain/(Loss)	16	-39
Non-Agency RMBS - Senior interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	3,012,868	3,734,452
Total Premium	135,868	199,288
Amortized cost	135,868	199,288
Fair Value	122,869	188,679
Gross Unrealized Gains	7,976	11,308
Gross Unrealized Losses	-20,975	-21,917
Net Unrealized Gain/(Loss)	-12,999	-10,609
Non-Agency RMBS - Subordinated [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	1,057,821	1,378,891
Total Discount	-584,772	-724,739
Amortized cost	473,049	654,152
Fair Value	547,794	606,895
Gross Unrealized Gains	81,492	30,997
Gross Unrealized Losses	-6,747	-78,254
Net Unrealized Gain/(Loss)	74,745	-47,257
Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	256,072	277,560
Total Premium	16,180	21,910
Amortized cost	16,180	21,910
Fair Value	16,253	22,019
Gross Unrealized Gains	1,466	1,663
Gross Unrealized Losses	-1,393	-1,554
Net Unrealized Gain/(Loss)	73	109
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	4,610,109	5,265,128
Total Premium	8,955	19,869
Total Discount	-2,088,125	-2,382,995
Amortized cost	2,437,048	2,902,002
Fair Value	3,274,204	3,270,332
Gross Unrealized Gains	837,353	420,505
Gross Unrealized Losses	-197	-52,175
Net Unrealized Gain/(Loss)	837,156	368,330
Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	1,756,580	3,018,347
Total Premium	51,502	90,403
Total Discount	'	-159
Amortized cost	1,720,595	3,027,285
Fair Value	1,806,697	3,144,531
Gross Unrealized Gains	86,419	117,601
Gross Unrealized Losses	-317	-355
Net Unrealized Gain/(Loss)	$86,102	$117,246

Residential_MortgageBacked_Sec4

Residential Mortgage-Backed Securities - Accretable Yield (Detail) (Non-Agency RMBS Having Deteriorated Credit When Acquired [Member], USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Non-Agency RMBS Having Deteriorated Credit When Acquired [Member]	'	'
Investment Holdings [Line Items]	'	'
Balance at beginning of period	$2,342,462	$2,521,723
Purchases	86,847	139,347
Accretion	-364,282	-392,779
Reclassification (to) from non-accretable difference	64,017	127,978
Sales	-21,657	-53,807
Balance at end of period	$2,107,387	$2,342,462

Residential_MortgageBacked_Sec5

Residential Mortgage-Backed Securities - Non-Agency Securities Having Deteriorated Credit When Acquired (Detail) (Non-Agency RMBS Having Deteriorated Credit When Acquired [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2009
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2009
Non-Agency RMBS Having Deteriorated Credit When Acquired [Member]	'	'	'
Investment Holdings [Line Items]	'	'	'
Loans acquired having deteriorated credit, outstanding principal	$4,508,475	$5,245,184	$5,264,486
Loans acquired having deteriorated credit, carrying value	$2,268,751	$2,649,303	$2,761,672

Residential_MortgageBacked_Sec6

Residential Mortgage-Backed Securities - Unrealized Loss Positions (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Item	Item
Investment Holdings [Line Items]	'	'
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$17,998	$440,955
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	-2,904	-73,489
Number of Securities of RMBS in continuous loss position for less than 12 months	14	63
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	140,836	723,310
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-26,725	-80,807
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	35	48
Estimated fair value of RMBS in continuous loss position	158,834	1,164,265
Unrealized losses on RMBS in continuous loss position	-29,629	-154,296
Number of Securities in continuous loss position	49	111
Non-Agency RMBS - Senior [Member]	'	'
Investment Holdings [Line Items]	'	'
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	'	127
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	'	-41
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	'	1
Estimated fair value of RMBS in continuous loss position	'	127
Unrealized losses on RMBS in continuous loss position	'	-41
Number of Securities in continuous loss position	'	1
Non-Agency RMBS - Senior interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	17,764	99,351
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	-2,828	-18,756
Number of Securities of RMBS in continuous loss position for less than 12 months	12	26
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	52,920	17,647
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-18,147	-3,161
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	26	12
Estimated fair value of RMBS in continuous loss position	70,684	116,998
Unrealized losses on RMBS in continuous loss position	-20,975	-21,917
Number of Securities in continuous loss position	38	38
Non-Agency RMBS - Subordinated [Member]	'	'
Investment Holdings [Line Items]	'	'
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	'	321,416
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	'	-52,824
Number of Securities of RMBS in continuous loss position for less than 12 months	'	33
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	54,774	111,167
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-6,747	-25,430
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	5	17
Estimated fair value of RMBS in continuous loss position	54,774	432,583
Unrealized losses on RMBS in continuous loss position	-6,747	-78,254
Number of Securities in continuous loss position	5	50
Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	'	16,300
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	'	-1,554
Number of Securities of RMBS in continuous loss position for less than 12 months	'	2
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	9,659	'
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-1,393	'
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	1	'
Estimated fair value of RMBS in continuous loss position	9,659	16,300
Unrealized losses on RMBS in continuous loss position	-1,393	-1,554
Number of Securities in continuous loss position	1	2
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'	'
Investment Holdings [Line Items]	'	'
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	22,490	594,369
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-197	-52,175
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	1	18
Estimated fair value of RMBS in continuous loss position	22,490	594,369
Unrealized losses on RMBS in continuous loss position	-197	-52,175
Number of Securities in continuous loss position	1	18
Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	234	3,888
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	-76	-355
Number of Securities of RMBS in continuous loss position for less than 12 months	2	2
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	993	'
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-241	'
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	2	'
Estimated fair value of RMBS in continuous loss position	1,227	3,888
Unrealized losses on RMBS in continuous loss position	($317)	($355)
Number of Securities in continuous loss position	4	2

Residential_MortgageBacked_Sec7

Residential Mortgage-Backed Securities - Aggregate Other Than Temporary Impairments (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Residential Mortgage-Backed Securities [Member]	'	'	'
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]	'	'	'
Total other-than-temporary impairment losses	($47,632)	($241,962)	($40,833)
Portion of loss recognized in other comprehensive income (loss)	-84,618	-115,143	-91,012
Net other-than-temporary credit impairment losses	($132,250)	($357,105)	($131,845)

Residential_MortgageBacked_Sec8

Residential Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) (Non-Agency RMBS [Member], USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Non-Agency RMBS [Member]	'	'	'
Investment Holdings [Line Items]	'	'	'
Cumulative credit loss beginning balance	$452,060	$237,746	$128,582
Additions:	'	'	'
Other-than-temporary impairments not previously recognized	98,324	268,795	55,772
Reductions for securities sold during the period	-34,577	-1,300	-9,704
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	33,926	88,310	76,073
Reductions for increases in cash flows expected to be collected over the remaining life of the securities	-39,644	-141,491	-12,977
Cumulative credit impairment loss ending balance	$510,089	$452,060	$237,746

Residential_MortgageBacked_Sec9

Residential Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) (Non-Agency RMBS [Member])	12 Months Ended
	Dec. 31, 2012		Dec. 31, 2011
Minimum [Member]	'		'
Investment Holdings [Line Items]	'		'
Loss Severity	39.00%		34.00%
60+ days delinquent	12.00%		0.00%
Credit Enhancement	0.00%	[1]	0.00%	[1]
3 Month CPR	1.00%		0.00%
12 Month CPR	10.00%		4.00%
Maximum [Member]	'		'
Investment Holdings [Line Items]	'		'
Loss Severity	63.00%		97.00%
60+ days delinquent	34.00%		68.00%
Credit Enhancement	59.00%	[1]	91.00%	[1]
3 Month CPR	22.00%		83.00%
12 Month CPR	27.00%		56.00%
Weighted Average [Member]	'		'
Investment Holdings [Line Items]	'		'
Loss Severity	52.00%		59.00%
60+ days delinquent	19.00%		30.00%
Credit Enhancement	17.00%	[1]	10.00%	[1]
3 Month CPR	14.00%		15.00%
12 Month CPR	22.00%		16.00%

[1]	Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.

Recovered_Sheet1

Residential Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$996,880	$563,923
Gross Unrealized Gain Included in Accumulated Deficit	17,846	18,153
Total Gross Unrealized Gain	1,014,722	582,076
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	-6,944	-130,470
Gross Unrealized Loss Included in Accumulated Deficit	-22,685	-23,826
Total Gross Unrealized Loss	-29,629	-154,296
Non-Agency RMBS - Senior [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	13	2
Total Gross Unrealized Gain	16	2
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	'	-41
Total Gross Unrealized Loss	'	-41
Non-Agency RMBS - Senior interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Deficit	7,977	11,308
Total Gross Unrealized Gain	7,976	11,308
Gross Unrealized Loss Included in Accumulated Deficit	-20,975	-21,917
Total Gross Unrealized Loss	-20,975	-21,917
Non-Agency RMBS - Subordinated [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	81,490	30,997
Total Gross Unrealized Gain	81,492	30,997
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	-6,747	-78,254
Total Gross Unrealized Loss	-6,747	-78,254
Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Deficit	1,467	1,663
Total Gross Unrealized Gain	1,466	1,663
Gross Unrealized Loss Included in Accumulated Deficit	-1,393	-1,554
Total Gross Unrealized Loss	-1,393	-1,554
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	829,315	415,688
Gross Unrealized Gain Included in Accumulated Deficit	8,045	4,817
Total Gross Unrealized Gain	837,353	420,505
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	-197	-52,175
Total Gross Unrealized Loss	-197	-52,175
Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	86,062	117,236
Gross Unrealized Gain Included in Accumulated Deficit	357	365
Total Gross Unrealized Gain	86,419	117,601
Gross Unrealized Loss Included in Accumulated Deficit	-317	-355
Total Gross Unrealized Loss	($317)	($355)

Recovered_Sheet2

Residential Mortgage-Backed Securities - Collateral Characteristics (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Dec. 31, 2012		Dec. 31, 2011
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	$10,693,576,000		$13,675,493,000
Non-Agency RMBS - Senior [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	126,000		1,115,000
Weighted Average Amortized Cost Basis	57.02		95.13
Weighted Average Fair Value	67		91.55
Weighted Average Coupon	0.00%		1.02%
Weighted Average Yield at Period-End	11.90%	[1]	2.95%	[1]
Non-Agency RMBS - Senior interest-only [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	3,012,868,000		3,734,452,000
Weighted Average Amortized Cost Basis	4.51		5.34
Weighted Average Fair Value	4.08		5.05
Weighted Average Coupon	1.76%		1.96%
Weighted Average Yield at Period-End	10.36%	[1]	13.28%	[1]
Non-Agency RMBS - Subordinated [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	1,057,821,000		1,378,891,000
Weighted Average Amortized Cost Basis	44.72		47.44
Weighted Average Fair Value	51.79		44.01
Weighted Average Coupon	3.18%		3.44%
Weighted Average Yield at Period-End	11.07%	[1]	9.57%	[1]
Non-Agency RMBS - Subordinated interest-only [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	256,072,000		277,560,000
Weighted Average Amortized Cost Basis	6.32		7.89
Weighted Average Fair Value	6.35		7.93
Weighted Average Coupon	2.25%		2.94%
Weighted Average Yield at Period-End	8.90%	[1]	9.93%	[1]
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	4,610,109,000		5,265,128,000
Weighted Average Amortized Cost Basis	53.96		55.14
Weighted Average Fair Value	72.5		62.11
Weighted Average Coupon	4.88%		5.32%
Weighted Average Yield at Period-End	15.44%	[1]	14.56%	[1]
Agency RMBS [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	1,756,580,000		3,018,347,000
Weighted Average Amortized Cost Basis	103.09		103.07
Weighted Average Fair Value	$108.24		$107.06
Weighted Average Coupon	4.65%		4.66%
Weighted Average Yield at Period-End	3.59%	[1]	3.83%	[1]

[1]	Bond Equivalent Yield at period end.

Recovered_Sheet3

Residential Mortgage-Backed Securities - Credit Ratings (Detail) (Non-Agency RMBS [Member])	Dec. 31, 2012	Dec. 31, 2011
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	100.00%	100.00%
AAA Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	0.01%	0.53%
AA Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	0.46%	0.14%
A Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	0.00%	0.45%
BBB Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	0.00%	1.54%
BB Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	1.41%	0.00%
B Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	1.19%	0.43%
Below B or Not Rated Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	96.93%	96.91%

Recovered_Sheet4

Residential Mortgage-Backed Securities - Maturities (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	$16,714	$50,729
Greater than one year and less than five years, at fair value	2,186,563	2,261,339
Greater than five years and less than ten years, at fair value	2,495,382	3,274,368
Greater than ten years, at fair value	1,069,246	1,647,040
Fair Value	5,767,905	7,233,476
Less than one year, at amortized cost	14,647	56,923
Greater than one year and less than five years, at amortized cost	2,044,293	2,154,692
Greater than five years and less than ten years, at amortized cost	1,896,710	2,998,188
Greater than ten years, at amortized cost	827,162	1,595,893
Total maturities, at amortized cost	4,782,812	6,805,696
Non-Agency RMBS - Senior [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	'	892
Greater than five years and less than ten years, at fair value	88	128
Fair Value	88	1,020
Less than one year, at amortized cost	'	891
Greater than five years and less than ten years, at amortized cost	72	168
Total maturities, at amortized cost	72	1,059
Non-Agency RMBS - Senior interest-only [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	358	'
Greater than one year and less than five years, at fair value	47,205	85,633
Greater than five years and less than ten years, at fair value	66,927	69,204
Greater than ten years, at fair value	8,379	33,842
Fair Value	122,869	188,679
Less than one year, at amortized cost	657	'
Greater than one year and less than five years, at amortized cost	58,037	95,974
Greater than five years and less than ten years, at amortized cost	70,044	69,953
Greater than ten years, at amortized cost	7,130	33,361
Total maturities, at amortized cost	135,868	199,288
Non-Agency RMBS - Subordinated [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	4,092	6,530
Greater than one year and less than five years, at fair value	23,948	101,984
Greater than five years and less than ten years, at fair value	359,310	259,549
Greater than ten years, at fair value	160,444	238,832
Fair Value	547,794	606,895
Less than one year, at amortized cost	2,649	5,616
Greater than one year and less than five years, at amortized cost	20,593	98,657
Greater than five years and less than ten years, at amortized cost	318,422	300,489
Greater than ten years, at amortized cost	131,385	249,390
Total maturities, at amortized cost	473,049	654,152
Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Greater than five years and less than ten years, at fair value	9,658	1,812
Greater than ten years, at fair value	6,595	20,207
Fair Value	16,253	22,019
Greater than five years and less than ten years, at amortized cost	11,051	1,946
Greater than ten years, at amortized cost	5,129	19,964
Total maturities, at amortized cost	16,180	21,910
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	12,118	25,375
Greater than one year and less than five years, at fair value	312,690	338,616
Greater than five years and less than ten years, at fair value	2,055,568	2,119,030
Greater than ten years, at fair value	893,828	787,311
Fair Value	3,274,204	3,270,332
Less than one year, at amortized cost	11,184	32,806
Greater than one year and less than five years, at amortized cost	248,699	296,144
Greater than five years and less than ten years, at amortized cost	1,493,647	1,827,000
Greater than ten years, at amortized cost	683,518	746,052
Total maturities, at amortized cost	2,437,048	2,902,002
Agency RMBS [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	146	17,932
Greater than one year and less than five years, at fair value	1,802,720	1,735,106
Greater than five years and less than ten years, at fair value	3,831	824,645
Greater than ten years, at fair value	'	566,848
Fair Value	1,806,697	3,144,531
Less than one year, at amortized cost	157	17,610
Greater than one year and less than five years, at amortized cost	1,716,964	1,663,917
Greater than five years and less than ten years, at amortized cost	3,474	798,632
Greater than ten years, at amortized cost	'	547,126
Total maturities, at amortized cost	$1,720,595	$3,027,285

Recovered_Sheet5

Residential Mortgage-Backed Securities - Geographical and Other Statistics (Detail) (Non-Agency RMBS [Member], USD $)	Dec. 31, 2012		Dec. 31, 2011
	Point		Point
Investment Holdings [Line Items]	'		'
Weighted average maturity	'24 years 9 months 18 days		'25 years 8 months 12 days
Weighted average amortized loan to value	71.60%	[1]	71.50%	[1]
Weighted average FICO	717.3	[2]	718.4	[2]
Weighted average loan balance	$453,100		$469,000
Weighted average percentage owner occupied	85.10%		85.30%
Weighted average percentage single family residence	65.50%		65.60%
Weighted average current credit enhancement	3.10%		4.50%
California [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	36.70%		38.10%
Florida [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	8.70%		8.50%
New York [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	6.40%		6.10%
Virginia [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	2.40%		2.40%
New Jersey [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	2.80%		2.70%

[1]	Value represents appraised value of the collateral at the time of loan origination.
[2]	FICO as determined at the time of loan origination.

Recovered_Sheet6

Residential Mortgage-Backed Securities - Year Originated (Detail) (Non-Agency RMBS [Member])	Dec. 31, 2012	Dec. 31, 2011
Non-Agency RMBS [Member]	'	'
Origination Year as a Percentage of Outstanding Principal Balance	'	'
2000	0.20%	0.00%
2001	0.20%	0.20%
2002	0.00%	0.00%
2003	0.40%	0.90%
2004	0.60%	1.30%
2005	14.30%	13.80%
2006	34.60%	31.80%
2007	46.70%	48.70%
2008	3.00%	3.30%
Total	100.00%	100.00%

Recovered_Sheet7

Residential Mortgage-Backed Securities - Resecuritizations - Narrative (Detail) (USD $)	3 Months Ended							12 Months Ended
	Dec. 31, 2012	Sep. 30, 2012	Mar. 31, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Mar. 31, 2011	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Investment Holdings [Line Items]	'	'	'	'	'	'	'	'	'	'
Realized gains from sale of RMBS	$1,000	$69,155,000	$16,010,000	$52,566,000	$58,000	($913,000)	$2,642,000	$85,166,000	$54,353,000	$17,333,000
Residential Mortgage-Backed Securities [Member]	'	'	'	'	'	'	'	'	'	'
Investment Holdings [Line Items]	'	'	'	'	'	'	'	'	'	'
Carrying value of RMBS sold	'	'	'	'	'	'	'	858,200,000	2,600,000,000	'
Realized gains from sale of RMBS	'	'	'	'	'	'	'	$85,166,000	$54,353,000	'

Securitized_Loans_Held_for_Inv2

Securitized Loans Held for Investment - Narrative (Detail) (USD $)

12 Months Ended

Dec. 31, 2012

Dec. 31, 2011

Dec. 31, 2012

Dec. 31, 2011

Dec. 31, 2010

Dec. 31, 2012

Dec. 31, 2011

Dec. 31, 2010

Fixed Rate Bonds [Member]

Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]

AAA, AA or A Credit Rating [Member]

C S M C Trusts [Member]

Securitized Loans Held for Investment [Member]

Loan

Allowance For Loan Losses Specific Loan Reserve [Member]

Allowance For Loan Losses General Reserve [Member]

Troubled Debt Restructuring [Member]

Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]

Principal amount of securities transferred to a VIE in a secured borrowing transaction

$1,500,000,000

Principal amount of securities sold

1,400,000,000

Proceeds from securitized debt borrowings, loans held for investment

1,426,983,000

Origination Year as a Percentage of Outstanding Principal Balance:

2009

32.60%

2008

44.10%

2007

9.30%

Prior to 2007

14.00%

Allowance for loan losses

11,624,000

13,938,000

6,600,000

7,600,000

4,900,000

5,000,000

6,300,000

6,100,000

Allowance for loan losses, specific reserve, portion having potential for future accretion into income

29,100,000

32,900,000

27,200,000

4,800,000

Recorded investment in impaired loans having a specific allowance for loan loss

21,800,000

14,300,000

22,300,000

The total unpaid principal balance of non-impaired loans

1,300,000,000

235,200,000

328,800,000

Recorded investment in non-impaired loans

$1,300,000,000

$228,900,000

$322,700,000

Number of loans modified in the past twelve months and delinquent on scheduled payments

Securitized_Loans_Held_for_Inv3

Securitized Loans Held for Investment - Roll-Forward (Detail) (Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], Securitized Loans Held for Investment [Member], USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] \| Securitized Loans Held for Investment [Member]	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'
Balance, beginning of year	$256,632	$349,112
Purchases	1,531,014	'
Principal paydowns	-477,555	-85,526
Net periodic amortization (accretion)	-9,592	-1,663
Change to loan loss provision	-368	-5,291
Balance, end of period	$1,300,131	$256,632

Securitized_Loans_Held_for_Inv4

Securitized Loans Held for Investment - Summary (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010	Dec. 31, 2009
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010	Dec. 31, 2009
Residential Mortgage-Backed Securities [Member]	'	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'	'
Securitized loans, at amortized cost	$1,311,755	$270,570	'	'
Less: allowance for loan losses	11,624	13,938	11,006	4,551
Securitized loans held for investment	$1,300,131	$256,632	'	'

Securitized_Loans_Held_for_Inv5

Securitized Loans Held for Investment - Collateral Characteristics (Detail) (Residential Mortgage [Member], USD $)	Dec. 31, 2012		Dec. 31, 2011
	Point		Loan
	Loan		Point
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Number of loans	1,618		392
Weighted average maturity	'28 years 3 months 18 days		'25 years 9 months 18 days
Weighted average loan to value	71.20%	[1]	75.50%	[1]
Weighted average FICO	768	[2]	752	[2]
Weighted average loan balance	$794,100		$684,000
Weighted average percentage owner occupied	94.60%		91.10%
Weighted average percentage single family residence	70.60%		58.10%
California [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	38.10%		36.00%
Virginia [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	6.30%		'
New York [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	6.30%		'
Washington [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	5.20%		'
New Jersey [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	4.60%		5.40%
Florida [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	'		6.10%
Arizona [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	'		5.80%
Illinois [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	'		5.30%

[1]	Value represents appraised value of the collateral at the time of loan origination.
[2]	FICO as determined at the time of loan origination.

Securitized_Loans_Held_for_Inv6

Securitized Loans Held for Investment - Allowance for Loan Losses (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Residential Mortgage-Backed Securities [Member]	'	'	'
Allowance for Loan and Lease Losses [Roll Forward]	'	'	'
Balance, beginning of period	$13,938	$11,006	$4,551
Provision for loan losses	368	5,291	7,109
Charge-offs	-2,682	-2,359	-654
Balance, end of period	$11,624	$13,938	$11,006

Securitized_Loans_Held_for_Inv7

Securitized Loans Held for Investment - Aging (Detail) (Residential Mortgage [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Residential Mortgage [Member]	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'
30 Days Delinquent	$3,110	$1,342
60 Days Delinquent	1,186	1,828
90+ Days Delinquent	4,045	2,338
Bankruptcy	0	1,659
Foreclosure	4,247	3,626
REO	1,390	5,201
Total	$13,978	$15,994

Securitized_Loans_Held_for_Inv8

Securitized Loans Held for Investment - Modified Loans (Detail) (Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], Securitized Loans Held for Investment [Member], Residential Mortgage [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Loan	Loan
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] \| Securitized Loans Held for Investment [Member] \| Residential Mortgage [Member]	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'
Number of Loans Modified During Period	9	7
Unpaid Principal Balance of Modified Loans (Pre-modification)	$5,163	$5,496
Unpaid Principal Balance of Modified Loans (Post-modification)	5,312	5,867
Amortized Cost of Modified Loans	5,256	5,931
Amortized Cost of Modified Loans For Which There is an Allowance for Loan Losses	5,256	5,931
Amortized Cost of Modified Loans For Which There is No Allowance for Loan Losses	$0	$0

Fair_Value_Measurements_Fair_V

Fair Value Measurements - Fair Value Measurement Levels (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Agency mortgage-backed securities	$1,806,697	$3,144,531
Interest rate swaps	53,939	44,467
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Measurements, Recurring [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Total	1,860,636	3,188,998
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Measurements, Recurring [Member] \| Agency RMBS [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Agency mortgage-backed securities	1,806,697	3,144,531
Fair Value, Inputs, Level 2 [Member] \| Fair Value, Measurements, Recurring [Member] \| Interest Rate Swaps [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Interest rate swaps	53,939	44,467
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Measurements, Recurring [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Total	3,961,208	4,088,945
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Measurements, Recurring [Member] \| Non-Agency RMBS - Senior [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Non-Agency RMBS - Senior	88	1,020
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Measurements, Recurring [Member] \| Non-Agency RMBS - Senior interest-only [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Non-Agency RMBS - Senior interest-only	122,869	188,679
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Measurements, Recurring [Member] \| Non-Agency RMBS - Subordinated [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Non-Agency RMBS - Subordinated	547,794	606,895
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Measurements, Recurring [Member] \| Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Non-Agency RMBS - Subordinated interest-only	16,253	22,019
Fair Value, Inputs, Level 3 [Member] \| Fair Value, Measurements, Recurring [Member] \| Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'	'
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
RMBS transferred to consolidated VIEs	$3,274,204	$3,270,332

Fair_Value_Measurements_Unobse

Fair Value Measurements - Unobservable Input Reconciliation (Detail) (Non-Agency RMBS [Member], Fair Value, Measurements, Recurring [Member], Fair Value, Inputs, Level 3 [Member], USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Non-Agency RMBS [Member] \| Fair Value, Measurements, Recurring [Member] \| Fair Value, Inputs, Level 3 [Member]	'	'
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]	'	'
Beginning balance Level 3 assets	$4,088,945	$5,529,109
Transfers in to Level 3 assets	'	'
Transfers out of Level 3 assets	'	'
Purchases	122,509	446,207
Principal payments	-516,370	-695,277
Sales	-328,261	-631,642
Accretion of purchase discounts	98,804	81,224
Other than temporary credit impairment losses	-132,250	-357,105
Realized gains (losses) on sales	48,435	445
Net unrealized gains (losses) on interest-only RMBS	804	-14,717
Total unrealized gains (losses) for the period	578,592	-269,299
Ending balance Level 3 assets	$3,961,208	$4,088,945

Fair_Value_Measurements_Unobse1

Fair Value Measurements - Unobservable Inputs Assumptions (Detail) (Fair Value, Inputs, Level 3 [Member])	12 Months Ended
	Dec. 31, 2012
Non-Agency RMBS - Senior [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, discount rate	7.50%
Non-Agency RMBS - Senior interest-only [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, discount rate	13.90%
Non-Agency RMBS - Subordinated [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, discount rate	25.90%
Non-Agency RMBS - Subordinated interest-only [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, discount rate	13.30%
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, discount rate	5.80%
Minimum [Member] \| Non-Agency RMBS - Senior [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	11.00%
Significant unobservable input, default rate	0.00%
Significant unobservable input, loss severity rate	50.00%
Minimum [Member] \| Non-Agency RMBS - Senior interest-only [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	1.00%
Significant unobservable input, default rate	0.00%
Significant unobservable input, loss severity rate	50.00%
Minimum [Member] \| Non-Agency RMBS - Subordinated [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	1.00%
Significant unobservable input, default rate	0.00%
Significant unobservable input, loss severity rate	50.00%
Minimum [Member] \| Non-Agency RMBS - Subordinated interest-only [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	4.00%
Significant unobservable input, default rate	0.00%
Significant unobservable input, loss severity rate	50.00%
Minimum [Member] \| Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	1.00%
Significant unobservable input, default rate	0.00%
Significant unobservable input, loss severity rate	50.00%
Maximum [Member] \| Non-Agency RMBS - Senior [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	11.00%
Significant unobservable input, default rate	3.00%
Significant unobservable input, loss severity rate	58.00%
Maximum [Member] \| Non-Agency RMBS - Senior interest-only [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	25.00%
Significant unobservable input, default rate	25.00%
Significant unobservable input, loss severity rate	85.00%
Maximum [Member] \| Non-Agency RMBS - Subordinated [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	18.00%
Significant unobservable input, default rate	21.00%
Significant unobservable input, loss severity rate	85.00%
Maximum [Member] \| Non-Agency RMBS - Subordinated interest-only [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	11.00%
Significant unobservable input, default rate	21.00%
Significant unobservable input, loss severity rate	68.00%
Maximum [Member] \| Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'
Significant unobservable input, prepayment rate	15.00%
Significant unobservable input, default rate	36.00%
Significant unobservable input, loss severity rate	85.00%

Fair_Value_Measurements_Carryi

Fair Value Measurements - Carrying And Fair Values (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]	'	'
Agency RMBS	$1,806,697	$3,144,531
Interest rate swaps	-53,939	-44,467
Estimate of Fair Value, Fair Value Disclosure [Member] \| Fair Value, Inputs, Level 3 [Member]	'	'
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]	'	'
Non-Agency RMBS	3,961,208	4,088,945
Securitized loans held for investment	1,320,696	237,977
Securitized debt, collateralized by Non-Agency RMBS	-1,334,551	-1,546,237
Securitized debt, collateralized by loans held for investment	-1,194,747	-222,921
Estimate of Fair Value, Fair Value Disclosure [Member] \| Fair Value, Inputs, Level 2 [Member]	'	'
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]	'	'
Agency RMBS	1,806,697	3,144,531
Repurchase agreements	-1,531,511	-2,677,402
Interest rate swaps	-53,939	-44,467
Carrying (Reported) Amount, Fair Value Disclosure [Member]	'	'
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]	'	'
Non-Agency RMBS	3,961,208	4,088,945
Agency RMBS	1,806,697	3,144,531
Securitized loans held for investment	1,300,131	256,632
Repurchase agreements	-1,528,025	-2,672,989
Securitized debt, collateralized by Non-Agency RMBS	-1,336,261	-1,630,276
Securitized debt, collateralized by loans held for investment	-1,169,710	-212,778
Interest rate swaps	($53,939)	($44,467)

Repurchase_Agreements_Narrativ

Repurchase Agreements - Narrative (Detail) (USD $)	12 Months Ended
Repurchase Agreements - Narrative (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
Short-term Debt [Line Items]	'	'
Repurchase agreements outstanding	$1,528,025,000	$2,672,989,000
Weighted average borrowing rates	0.52%	0.35%
Weighted average remaining maturities, in days	'56 days	'48 days
Average daily balances of the Company's repurchase agreements	2,100,000,000	3,800,000,000
Description of variable interest rate	'The interest rates of these repurchase agreements are generally indexed to the one-month or the three-month LIBOR rate and re-price accordingly.	'
Agency RMBS [Member] \| Repurchase Agreements [Member]	'	'
Short-term Debt [Line Items]	'	'
RMBS pledged as collateral under repurchase agreements, at estimated fair value	$1,600,000,000	$2,900,000,000

Repurchase_Agreements_Maturiti

Repurchase Agreements - Maturities (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	$1,528,025	$2,672,989
1-30 days [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	732,809	1,368,945
30 to 59 days [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	325,915	836,007
90 to 189 days [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	211,137	171,836
Greater than or equal to 120 days [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	$258,164	$296,201

Securitized_Debt_Narrative_Det

Securitized Debt - Narrative (Detail) (Securitized Loans [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2012	Dec. 31, 2012	Dec. 31, 2012	Dec. 31, 2012
In Millions, unless otherwise specified			Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
			Loans Held for Investment [Member]	Loans Held for Investment [Member]	Non-Agency RMBS [Member]	Non-Agency RMBS [Member]	Minimum [Member]	Minimum [Member]	Maximum [Member]	Maximum [Member]
							Loans Held for Investment [Member]	Non-Agency RMBS [Member]	Loans Held for Investment [Member]	Non-Agency RMBS [Member]
Debt Instrument [Line Items]	'	'	'	'	'	'	'	'	'	'
Principal balance of debt	$2,500	$1,900	$1,200	$222.90	$1,400	$1,700	'	'	'	'
Year the debt matures	'	'	'	'	'	'	'2023	'2035	'2042	'2047
Weighted average cost of financing	'	'	3.37%	5.48%	4.41%	5.09%	'	'	'	'

Securitized_Debt_Maturities_De

Securitized Debt - Maturities (Detail) (Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], Securitized Loans [Member], USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] \| Securitized Loans [Member]	'	'
Debt Instrument [Line Items]	'	'
Within One Year	$658,423	$488,886
One to Three Years	793,150	598,921
Three to Five Years	430,993	276,965
Greater Than or Equal to Five Years	555,717	404,386
Total	$2,438,283	$1,769,158

Variable_Interest_Entities_Eff

Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Assets	'	'
Accrued interest receivable	$15,248	$22,709
Liabilities	'	'
Accrued interest payable	2,441	3,294
Variable Interest Entity, Primary Beneficiary [Member]	'	'
Assets	'	'
Non-Agency RMBS transferred to consolidated VIEs	3,274,204	3,270,332
Securitized loans held for investment	1,300,131	256,632
Accrued interest receivable	24,082	26,616
Liabilities	'	'
Securitized debt, collateralized by Non-Agency RMBS	1,336,261	1,630,276
Securitized debt, collateralized by loans held for investment	1,169,710	212,778
Accrued interest payable	$8,358	$8,130

Variable_Interest_Entities_Eff1

Variable Interest Entities - Effect on Consolidated Results (Detail) (USD $)	3 Months Ended								12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Sep. 30, 2012	Jun. 30, 2012	Mar. 31, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Mar. 31, 2011	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Variable Interest Entity [Line Items]	'	'	'	'	'	'	'	'	'	'	'
Net interest income	$99,678	$110,340	$139,571	$113,293	$136,845	$152,789	$144,066	$136,466	$462,882	$570,166	$429,652
Total other-than-temporary impairment losses	368	2,713	12,474	32,077	80,038	78,950	57,926	25,048	-47,632	-241,962	-40,833
Portion of loss recognized in other comprehensive income (loss)	7,817	7,301	53,213	16,287	31,154	71,610	4,244	8,135	-84,618	-115,143	-91,012
Net other-than-temporary credit impairment losses	-8,185	-10,014	-65,687	-48,364	-111,192	-150,560	-62,170	-33,183	-132,250	-357,105	-131,845
Variable Interest Entity, Primary Beneficiary [Member]	'	'	'	'	'	'	'	'	'	'	'
Variable Interest Entity [Line Items]	'	'	'	'	'	'	'	'	'	'	'
Total other-than-temporary impairment losses	'	'	'	'	'	'	'	'	-7,619	-113,047	-19,583
Portion of loss recognized in other comprehensive income (loss)	'	'	'	'	'	'	'	'	-76,699	-145,512	-68,407
Net other-than-temporary credit impairment losses	'	'	'	'	'	'	'	'	-84,318	-258,559	-87,990
Variable Interest Entity, Primary Beneficiary [Member] \| Non-Agency Residential Mortgage-Backed Securities and Securitized Loans [Member]	'	'	'	'	'	'	'	'	'	'	'
Variable Interest Entity [Line Items]	'	'	'	'	'	'	'	'	'	'	'
Interest income, Assets of consolidated VIEs	'	'	'	'	'	'	'	'	417,351	450,996	472,740
Interest expense, Non-recourse liabilities of VIEs	'	'	'	'	'	'	'	'	-115,880	-122,917	-138,699
Net interest income	'	'	'	'	'	'	'	'	$301,471	$328,079	$334,041

Variable_Interest_Entities_Eff2

Variable Interest Entities - Effect on Consolidated Cash Flow (Detail) (USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'
Amortization of deferred financing costs	$8,546	'	'
Accretion (amortization) of securitized debt discounts/premiums, net	6,985	12,551	16,655
Payment of deferred financing costs	-9,488	'	'
Proceeds from securitized debt borrowings, collateralized by loans held for investment	1,426,983	'	'
Payments on securitized debt borrowings, collateralized by loans held for investment	-470,288	-80,181	-106,186
Proceeds from securitized debt borrowings, collateralized by Non-Agency RMBS	181,201	310,972	1,295,657
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	-481,464	-645,603	-574,399
Decrease (increase) in accrued interest receivable	9,111	-672	-17,570
Increase (decrease) in accrued interest payable	-625	-217	8,406
Residential Mortgage-Backed Securities transferred to consolidated VIEs [Member]	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'
Principal payments	505,779	668,924	619,795
Securitized Loans [Member]	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'
Principal payments	477,555	85,526	113,330
Variable Interest Entity, Primary Beneficiary [Member]	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'
Amortization of deferred financing costs	8,546	1,733	1,499
Accretion (amortization) of securitized debt discounts/premiums, net	6,985	12,551	16,655
Payment of deferred financing costs	-9,488	'	-5,039
Proceeds from securitized debt borrowings, collateralized by loans held for investment	1,426,983	'	'
Payments on securitized debt borrowings, collateralized by loans held for investment	-470,788	-80,181	-106,186
Proceeds from securitized debt borrowings, collateralized by Non-Agency RMBS	181,201	310,972	1,295,657
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	-481,464	-645,603	-574,399
Decrease (increase) in accrued interest receivable	2,534	-4,832	27,986
Increase (decrease) in accrued interest payable	228	-1,836	8,032
Net cash provided by/(used in) consolidated VIEs	1,648,071	347,254	1,397,330
Variable Interest Entity, Primary Beneficiary [Member] \| Residential Mortgage-Backed Securities transferred to consolidated VIEs [Member]	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'
Principal payments	505,779	668,924	619,795
Variable Interest Entity, Primary Beneficiary [Member] \| Securitized Loans [Member]	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'
Principal payments	$477,555	$85,526	$113,330

Variable_Interest_Entities_Nar

Variable Interest Entities - Narrative (Detail) (Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member])	12 Months Ended
	Dec. 31, 2012
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]	'
Variable Interest Entity [Line Items]	'
Variable interest entity, reporting entity involvement, maximum loss exposure determination methodology	'The Company's involvement with VIEs for which it is not considered the primary beneficiary generally is in the form of owning securities issued by the trusts, similar to its investments in other RMBS that do not provide the Company with a controlling financial interest. The Company's maximum exposure to loss does not include other-than-temporary impairments or other write-downs that the Company previously recognized through earnings.

Variable_Interest_Entities_Ass

Variable Interest Entities - Assets of Non-Consolidated VIEs (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
RMBS, at fair value	'	'
Agency RMBS, at fair value	$1,806,697	$3,144,531
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]	'	'
RMBS, at amortized cost	'	'
Non-Agency RMBS-Senior at amortized cost	72	168
Non-Agency RMBS-Senior interest-only at amortized cost	'	128
Non-Agency RMBS-Subordinated at amortized cost	581	4,651
Agency RMBS, at amortized cost	1,198	1,890
Total, at amortized cost	1,851	6,837
RMBS, at fair value	'	'
Non-Agency RMBS-Senior at fair value	85	127
Non-Agency RMBS-Senior interest-only at fair value	128	266
Non-Agency RMBS-Subordinated at fair value	2,266	4,858
Agency RMBS, at fair value	1,001	2,273
Total, at fair value	$3,480	$7,524

Interest_Rate_Swaps_Statement_

Interest Rate Swaps - Statement of Financial Condition (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Derivatives, Fair Value [Line Items]	'	'
Derivative liabilities - Net estimated fair value/carrying value	($53,939)	($44,467)
Liabilities [Member] \| Interest Rate Swaps [Member]	'	'
Derivatives, Fair Value [Line Items]	'	'
Derivative liabilities - Notional amount	1,355,000	950,000
Derivative liabilities - Net estimated fair value/carrying value	-53,939	-44,467
Net Estimated Fair Value of RMBS Pledged as Collateral	$60,382	$46,647

Interest_Rate_Swaps_Statement_1

Interest Rate Swaps - Statement of Operations (Detail) (USD $)	12 Months Ended
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Derivative Instruments, Gain (Loss) [Line Items]	'	'	'
Net unrealized gains (losses) on interest rate swaps	($9,473)	($34,478)	($9,989)
Net realized gains (losses) on interest rate swaps	-20,223	-15,929	-5,788
Interest Rate Swaps [Member]	'	'	'
Derivative Instruments, Gain (Loss) [Line Items]	'	'	'
Net unrealized gains (losses) on interest rate swaps	-9,473	-34,478	-9,989
Net realized gains (losses) on interest rate swaps	($20,223)	($15,929)	($5,788)

Interest_Rate_Swaps_Narrative_

Interest Rate Swaps - Narrative (Detail)	Dec. 31, 2012	Dec. 31, 2011
Derivatives, Fair Value [Line Items]	'	'
The weighted average pay rate on the Company's interest rate swaps	1.81%	2.08%
The weighted average receive rate on the Company's interest rate swaps	0.21%	0.29%

Interest_Rate_Swaps_Netting_Pr

Interest Rate Swaps - Netting Presentation (Detail) (USD $)	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011
Derivatives, Fair Value [Line Items]	'	'
Derivative liabilities - Net estimated fair value/carrying value	$53,939	$44,467
Liabilities [Member] \| Interest Rate Swaps [Member]	'	'
Derivatives, Fair Value [Line Items]	'	'
Derivative liabilities - Notional amount	1,355,000	950,000
Derivative instruments having gross unrealized losses, fair value	53,939	44,467
Derivative liabilities - Net notional amount	1,355,000	950,000
Derivative liabilities - Net estimated fair value/carrying value	$53,939	$44,467

Common_Stock_Narrative_Detail

Common Stock - Narrative (Detail) (USD $)	12 Months Ended
In Thousands, except Share data, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Class of Stock [Line Items]	'	'	'
Description of common stock equity distribution agreement	'On January 28, 2011 the Company entered into an equity distribution agreement with FIDAC and UBS Securities LLC ("UBS")	'	'
Date of equity distribution agreement with FIDAC and UBS	'2011-01-28	'	'
Number of common shares authorized for issuance under the equity distribution agreement with FIDAC and UBS	125,000,000	'	'
Number of common shares sold during the period under the equity distribution agreement with FIDAC and UBS	0	0	'
Proceeds from direct purchase and dividend reinvestment	$117	$1,120	$504
Shares issued during the period under the dividend reinvestment and share purchase plan	39,000	278,000	'
Dividends to common shareholders declared	$390,206	$523,481	$577,469
Declared dividends per common share	$0.38	$0.51	$0.69

Common_Stock_Earnings_Per_Shar

Common Stock - Earnings Per Share (Detail) (USD $)	3 Months Ended								12 Months Ended
In Thousands, except Share data, unless otherwise specified	Dec. 31, 2012	Sep. 30, 2012	Jun. 30, 2012	Mar. 31, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Mar. 31, 2011	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]	'	'	'	'	'	'	'	'	'	'	'
Net income	$78,685	$128,068	$40,781	$80,233	$42,748	($60,036)	$53,979	$100,638	$327,767	$137,329	$248,405
Effect of dilutive securities:	'	'	'	'	'	'	'	'	'	'	'
Dilutive net income available to stockholders	'	'	'	'	'	'	'	'	$327,767	$137,329	$248,405
Weighted average basic shares	'	'	'	'	'	'	'	'	1,026,831,033	1,026,365,197	821,675,803
Effect of dilutive securities	'	'	'	'	'	'	'	'	668,222	806,190	941,516
Weighted average dilutive shares	'	'	'	'	'	'	'	'	1,027,499,255	1,027,171,387	822,617,319
Net income per average share attributable to common stockholders - Basic	'	'	'	'	'	'	'	'	$0.32	$0.13	$0.30
Net income per average share attributable to common stockholders - Diluted	'	'	'	'	'	'	'	'	$0.32	$0.13	$0.30

Long_Term_Incentive_Plan_Narra

Long Term Incentive Plan - Narrative (Detail) (USD $)	0 Months Ended	12 Months Ended			60 Months Ended
Long Term Incentive Plan - Narrative (Detail) (USD $)	Jan. 02, 2008	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010	Dec. 31, 2012
Share-based Goods and Nonemployee Services Transaction [Line Items]	'	'	'	'	'
Equity-based compensation expense	'	$449,000	$713,000	$716,000	'
FIDAC Employees and Independent Directors [Member]	'	'	'	'	'
Share-based Goods and Nonemployee Services Transaction [Line Items]	'	'	'	'	'
The incentive plan authorizes the granting of options or other awards up to a ceiling of 40,000,000 shares	'	40,000,000	'	'	'
Ceiling percentage for share-based compensation to FIDAC	'	8.00%	'	'	'
The incentive plan authorizes the granting of options or other awards for an aggregate of the greater of 8.0% of the outstanding shares of the Company's common stock up to a maximum of 40,000,000 shares	'	'The incentive plan authorizes the granting of options or other awards for an aggregate of the greater of 8.0% of the outstanding shares of the Company's common stock up to a ceiling of 40,000,000 shares.	'	'	'
Number of shares issued under the plan from inception	1,301,000	'	'	'	'
Vesting period of restricted stock awarded to FIDAC's employees	'	'10 years	'	'	'
Number of shares of restricted stock issued by the Company to FIDAC's employees that vested during the period	'	'	'	'	715,000
Number of shares of restricted stock issued by the Company to FIDAC's employees that were forfeited during the period	'	'	'	'	65,000
Total unrecognized compensation costs related to non-vested share-based compensation arrangements granted under the long term incentive plan, based on the closing price of the shares on the grant date	'	10,400,000	'	'	10,400,000
Total unrecognized compensation costs related to non-vested share-based compensation arrangements granted under the long term incentive plan, based on the closing price of the shares at the quarter end	'	1,400,000	'	'	1,400,000
Weighted average period over which unrecognized compensation costs related to non-vested share-based compensation is expected to be recognized	'	'5 years	'	'	'5 years
The total fair value of shares vested, less those forfeited, during the period, based on the closing price of the stock on the vesting date	'	401,000	443,000	481,000	'
Compensation expense, amortization of restricted stock awards	'	449,000	451,000	490,000	'
Independent Directors Compensation Plan [Member]	'	'	'	'	'
Share-based Goods and Nonemployee Services Transaction [Line Items]	'	'	'	'	'
Equity-based compensation expense	'	$300,000	$270,000	$236,000	'

Long_Term_Incentive_Plan_Sched

Long Term Incentive Plan - Schedule of Restricted Stock Awards Activity (Detail) (FIDAC Employees and Independent Directors [Member], USD $)	60 Months Ended	12 Months Ended
	Dec. 31, 2012	Dec. 31, 2012	Dec. 31, 2011
	Dec. 31, 2012	Restricted Stock [Member]	Restricted Stock [Member]
Share-based Goods and Nonemployee Services Transaction [Line Items]	'	'	'
Unvested shares outstanding - beginning of period, weighted average grant date fair value	'	$17.72	$17.72
Granted, weighted average grant date fair value	'	$2.69	$2.74
Vested, weighted average grant date fair value	'	$17.72	$11.16
Forfeited, weighted average grant date fair value	'	$17.72	$17.72
Unvested shares outstanding - end of period, weighted average grant date fair value	'	$17.72	$17.72
Unvested shares outstanding - beginning of period	'	758,400	884,800
Granted	'	111,528	98,544
Vested	-715,000	-264,232	-222,994
Forfeited	-65,000	-19,696	-1,950
Unvested shares outstanding - end of period	'	586,000	758,400

Income_Taxes_Narrative_Detail

Income Taxes - Narrative (Detail) (USD $)	12 Months Ended
In Thousands, except Per Share data, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Income Taxes [Line Items]	'	'	'
Minimum percentage of taxable income that must be distributed to maintain REIT status	90.00%	'	'
Income taxes	$1	$606	$756
Income distribution from dividends declared characterized as a return of capital for federal income tax purposes	$0.12	'	'
U.S. federal, state and local tax authorities [Member] \| Minimum [Member]	'	'	'
Income Taxes [Line Items]	'	'	'
Years open to tax examination	'2010	'	'
U.S. federal, state and local tax authorities [Member] \| Maximum [Member]	'	'	'
Income Taxes [Line Items]	'	'	'
Years open to tax examination	'2012	'	'

Management_Agreement_and_Relat1

Management Agreement and Related Party Transactions - Narrative (Detail) (USD $)	1 Months Ended	12 Months Ended			24 Months Ended
In Thousands, except Share data, unless otherwise specified	Dec. 31, 2012	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010	Dec. 31, 2011
Related Party Transaction [Line Items]	'	'	'	'	'
Management fees accrued and paid to FIDAC for the period	'	$49,525	$51,969	$40,924	'
Expense recoveries from Manager	'	-4,712	'	'	'
FIDAC [Member]	'	'	'	'	'
Related Party Transaction [Line Items]	'	'	'	'	'
Basis for determining the quarterly fee due FIDAC	'	'Gross Stockholders' Equity (as defined in the management agreement)	'	'	'
Rate per annum used for calculating the quarterly management fee due FIDAC	0.75%	'	'	'	1.50%
Management fees accrued and paid to FIDAC for the period	'	49,525	51,969	40,924	'
The amount the Company reimbursed FIDAC for its costs incurred under the management agreement during the period	'	447	625	465	'
Expense recoveries from Manager	'	-4,712	'	'	'
FIDAC [Member] \| Restricted Stock Award [Member]	'	'	'	'	'
Related Party Transaction [Line Items]	'	'	'	'	'
Number of shares of restricted stock issued by the Company to FIDAC's employees that vested during the period	'	172,000	126,000	'	'
RCap Securities Inc [Member]	'	'	'	'	'
Related Party Transaction [Line Items]	'	'	'	'	'
Administrative fees	'	$137	$162	'	'

Subsequent_Events_Narrative_De

Subsequent Events - Narrative (Detail) (USD $)	12 Months Ended
	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010	Dec. 31, 2013	Dec. 31, 2013	Dec. 31, 2013	Dec. 31, 2013	Dec. 31, 2013	Dec. 31, 2013	Dec. 31, 2013
				Subsequent Event [Member]	Subsequent Event [Member]	Subsequent Event [Member]	Subsequent Event [Member]	Subsequent Event [Member]	Subsequent Event [Member]	Subsequent Event [Member]
					Dividend Declared Quarter One 2013 [Member]	Dividend Declared Quarter Two 2013 [Member]	Dividend Declared Quarter Three 2013 [Member]	Dividend Declared Quarter Four 2013 [Member]	Dividend Declared Quarter One 2014 [Member]	Dividend Declared Quarter Two 2014 [Member]
Subsequent Event [Line Items]	'	'	'	'	'	'	'	'	'	'
Distributions paid to common stock shareholders, per share	'	'	'	'	$0.09	$0.09	$0.09	'	'	'
Dividend declared, per share	$0.38	$0.51	$0.69	'	'	'	'	$0.09	$0.09	$0.09
Special dividends declared, per share	'	'	'	$0.20	'	'	'	'	'	'
Dividends declared, date payable	'	'	'	31-Jan-14	'	'	'	'	'	'
Dividends declared, date recorded	'	'	'	8-Jan-14	'	'	'	'	'	'

Restatements_Narrative_Detail

Restatements - Narrative (Detail) (USD $)

3 Months Ended

12 Months Ended

In Thousands, except Per Share data, unless otherwise specified

Dec. 31, 2012

Sep. 30, 2012

Jun. 30, 2012

Mar. 31, 2012

Dec. 31, 2011

Sep. 30, 2011

Jun. 30, 2011

Mar. 31, 2011

Dec. 31, 2012

Dec. 31, 2011

Dec. 31, 2010

Dec. 31, 2009

Net income

$78,685

$128,068

$40,781

$80,233

$42,748

($60,036)

$53,979

$100,638

$327,767

$137,329

$248,405

Diluted

$0.32

$0.13

$0.30

Retained earnings

-1,062,279

-999,840

-1,062,279

-999,840

Total stockholders' equity

3,542,479

3,047,619

3,542,479

3,047,619

3,678,586

2,126,562

Net interest income

99,678

110,340

139,571

113,293

136,845

152,789

144,066

136,466

462,882

570,166

429,652

Restated Account Adjustment [Member]

Net income

-284,400

Diluted

$0.35

Retained earnings

-409,900

Total stockholders' equity

-4,400

Net interest income

($173,600)

Immaterial_Restatements_Narrat

Immaterial Restatements - Narrative (Detail) (USD $)	3 Months Ended								12 Months Ended
Immaterial Restatements - Narrative (Detail) (USD $)	Dec. 31, 2012	Sep. 30, 2012	Jun. 30, 2012	Mar. 31, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Mar. 31, 2011	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Total other-than-temporary impairment losses	($368,000)	($2,713,000)	($12,474,000)	($32,077,000)	($80,038,000)	($78,950,000)	($57,926,000)	($25,048,000)	$47,632,000	$241,962,000	$40,833,000
Portion of loss recognized in other comprehensive income (loss)	-7,817,000	-7,301,000	-53,213,000	-16,287,000	-31,154,000	-71,610,000	-4,244,000	-8,135,000	84,618,000	115,143,000	91,012,000
Unrealized gains (losses) on available-for-sale securities, net	'	'	'	'	'	'	'	'	509,399,000	-549,422,000	555,835,000
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	'	'	'	'	'	'	'	'	132,250,000	357,105,000	131,845,000
Reclassification adjustment for net realized losses (gains) included in net income (loss)	'	'	'	'	'	'	'	'	-85,166,000	-54,353,000	-17,333,000
Previously Reported [Member]	'	'	'	'	'	'	'	'	'	'	'
Total other-than-temporary impairment losses	'	'	'	'	'	'	'	'	'	418,100,000	295,400,000
Portion of loss recognized in other comprehensive income (loss)	'	'	'	'	'	'	'	'	'	-61,000,000	-163,500,000
Restated Account Adjustment [Member]	'	'	'	'	'	'	'	'	'	'	'
Total other-than-temporary impairment losses	'	'	'	57,000,000	'	'	'	'	'	-176,200,000	-254,600,000
Portion of loss recognized in other comprehensive income (loss)	'	'	'	8,600,000	'	'	'	'	'	176,200,000	254,600,000
Reduction in prior period amounts	'	'	'	24,900,000	'	'	'	'	'	'	'
Unrealized gains (losses) on available-for-sale securities, net	'	'	'	-47,100,000	'	'	'	'	'	'	'
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	'	'	'	62,600,000	'	'	'	'	'	'	'
Reclassification adjustment for net realized losses (gains) included in net income (loss)	'	'	'	($15,500,000)	'	'	'	'	'	'	'

Summarized_Quarterly_Results_U

Summarized Quarterly Results (Unaudited) (Detail) (USD $)	3 Months Ended								12 Months Ended
In Thousands, except Per Share data, unless otherwise specified	Dec. 31, 2012	Sep. 30, 2012	Jun. 30, 2012	Mar. 31, 2012	Dec. 31, 2011	Sep. 30, 2011	Jun. 30, 2011	Mar. 31, 2011	Dec. 31, 2012	Dec. 31, 2011	Dec. 31, 2010
Net Interest Income:	'	'	'	'	'	'	'	'	'	'	'
Interest income	$133,552	$144,696	$161,524	$149,668	$167,541	$185,581	$179,859	$172,043	$172,089	$254,028	$103,360
Less interest expense	-33,874	-34,356	-21,953	-36,375	-30,696	-32,792	-35,793	-35,577	-10,678	-11,941	-7,749
Net interest income	99,678	110,340	139,571	113,293	136,845	152,789	144,066	136,466	462,882	570,166	429,652
Other-than-temporary impairments:	'	'	'	'	'	'	'	'	'	'	'
Total other-than-temporary impairment losses	-368	-2,713	-12,474	-32,077	-80,038	-78,950	-57,926	-25,048	47,632	241,962	40,833
Portion of loss recognized in other comprehensive income (loss)	-7,817	-7,301	-53,213	-16,287	-31,154	-71,610	-4,244	-8,135	84,618	115,143	91,012
Net other-than-temporary credit impairment losses	-8,185	-10,014	-65,687	-48,364	-111,192	-150,560	-62,170	-33,183	-132,250	-357,105	-131,845
Net gains (losses) on interest rate swaps	-199	-9,725	-16,186	-3,586	-3,782	-29,812	-23,797	6,984	-29,696	-50,407	-15,777
Net unrealized gains (losses) on interest-only RMBS	811	-15,393	-2,532	17,947	-12,934	-17,600	11,883	4,106	833	-14,545	3,846
Net realized gains (losses) on sales of investments, net	1	69,155	'	16,010	52,566	58	-913	2,642	85,166	54,353	17,333
Total other expenses	13,422	16,295	14,385	15,065	18,794	15,082	14,972	15,679	59,167	64,527	54,048
Net income (loss)	$78,685	$128,068	$40,781	$80,233	$42,748	($60,036)	$53,979	$100,638	$327,767	$137,329	$248,405
Net income (loss) per share-basic and diluted	$0.08	$0.12	$0.04	$0.08	$0.04	($0.06)	$0.05	$0.10	'	'	'