Chimera Investment (CIM) 10-Q 20 Mar 14 2013 Q2 Quarterly report Financial data

Document_and_Entity_Informatio

Document and Entity Information	6 Months Ended
	Jun. 30, 2013	Mar. 20, 2014
Document Information [Line Items]	'	'
Document Type	'10-Q	'
Amendment Flag	'false	'
Document Period End Date	30-Jun-13	'
Document Fiscal Year Focus	'2013	'
Document Fiscal Period Focus	'Q2	'
Trading Symbol	'CIM	'
Entity Registrant Name	'CHIMERA INVESTMENT CORP	'
Entity Central Index Key	'0001409493	'
Current Fiscal Year End Date	'--12-31	'
Entity Filer Category	'Large Accelerated Filer	'
Entity Common Stock, Shares Outstanding	'	1,027,588,342

Consolidated_Statements_of_Fin

Consolidated Statements of Financial Condition (USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Assets:	'	'
Cash and cash equivalents	$168,153	$621,153	[1]
Agency RMBS, at fair value	2,074,811	1,806,697	[1]
Accrued interest receivable	17,399	15,248	[1]
Other assets	9,453	13,970	[1]
Subtotal	3,019,245	3,144,072	[1]
Total assets	7,183,638	7,742,489	[1]
Liabilities:	'	'
Repurchase agreements, Agency RMBS ($1.6 billion and $1.6 billion pledged as collateral, respectively)	1,478,141	1,528,025	[1]
Accrued interest payable	1,297	2,441	[1]
Dividends payable	92,436	92,431	[1]
Accounts payable and other liabilities	2,299	1,170	[1]
Investment management fees and expenses payable to affiliate	5,798	7,675	[1]
Interest rate swaps, at fair value	35,359	53,939	[1]
Subtotal	1,615,330	1,685,681	[1]
Total liabilities	3,555,805	4,200,010	[1]
Commitments and Contingencies (See Note 16)	'	'	[1]
Stockholders' Equity:	'	'
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively	'	'	[1]
Common stock: par value $0.01 per share; 1,500,000,000 shares authorized, 1,027,593,441 and 1,027,597,458 shares issued and outstanding, respectively	10,271	10,268	[1]
Additional paid-in-capital	3,604,714	3,604,554	[1]
Accumulated other comprehensive income (loss)	1,036,988	989,936	[1]
Retained earnings (accumulated deficit)	-1,024,140	-1,062,279	[1]
Total stockholders' equity	3,627,833	3,542,479	[1]
Total liabilities and stockholders' equity	7,183,638	7,742,489	[1]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	'	'
Assets:	'	'
Non-Agency RMBS transferred to consolidated variable interest entities ("VIEs"), at fair value	3,219,691	3,274,204	[1]
Securitized loans held for investment, net of allowance for loan losses of $9.6 million and $11.6 million, respectively	924,566	1,300,131	[1]
Accrued interest receivable	20,136	24,082	[1]
Subtotal	4,164,393	4,598,417	[1]
Liabilities:	'	'
Securitized debt, collateralized by Non-Agency RMBS ($3.2 billion and $3.3 billion pledged as collateral, respectively)	1,128,752	1,336,261	[1]
Securitized debt, collateralized by loans held for investment ($908.0 million and $1.3 billion pledged as collateral, respectively)	805,229	1,169,710	[1]
Accrued interest payable	6,494	8,358	[1]
Subtotal	1,940,475	2,514,329	[1]
Non-Agency RMBS [Member]	'	'
Assets:	'	'
Senior	73	88	[1]
Senior interest-only	264,723	122,869	[1]
Subordinated	470,586	547,794	[1]
Subordinated interest-only	$14,047	$16,253	[1]
[1]	Derived from the audited consolidated financial statements.

Consolidated_Statements_of_Fin1

Consolidated Statements of Financial Condition (Parenthetical) (USD $)	Jun. 30, 2013	Dec. 31, 2012
Preferred Stock, par value	$0.01	$0.01	[1]
Preferred Stock, shares authorized	100,000,000	100,000,000	[1]
Preferred Stock, shares issued	0	0	[1]
Preferred Stock, shares outstanding	0	0	[1]
Common stock, par value	$0.01	$0.01	[1]
Common stock, shares authorized	1,500,000,000	1,500,000,000	[1]
Common stock, shares issued	1,027,593,441	1,027,597,458	[1]
Common stock, shares outstanding	1,027,593,441	1,027,597,458	[1]
Agency RMBS [Member] | Repurchase Agreements [Member]	'	'
Securities pledged as collateral	$1,600,000,000	$1,600,000,000	[1]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Non-Agency RMBS [Member] | Securitized Loans [Member]	'	'
Securities pledged as collateral	3,200,000,000	3,300,000,000	[1]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment [Member]	'	'
Allowance for loan losses	9,586,000	11,624,000	[1]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment [Member] | Securitized Loans [Member]	'	'
Securities pledged as collateral	$908,000,000	$1,300,000,000	[1]
[1]	Derived from the audited consolidated financial statements.

Consolidated_Statements_of_Ope

Consolidated Statements of Operations and Comprehensive Income (Loss) (USD $)	3 Months Ended		6 Months Ended
In Thousands, except Share data, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Net Interest Income:	'	'	'	'
Interest income	$33,629	$52,031	$62,696	$103,350
Interest expense	-1,629	-2,473	-3,462	-4,799
Net interest income (expense)	100,954	139,571	197,920	252,864
Other-than-temporary impairments:	'	'	'	'
Total other-than-temporary impairment losses	'	-12,474	'	-44,551
Portion of loss recognized in other comprehensive income (loss)	'	-53,213	-6,163	-69,500
Net other-than-temporary credit impairment losses	'	-65,687	-6,163	-114,051
Other gains (losses):	'	'	'	'
Net unrealized gains (losses) on interest rate swaps	13,178	-10,992	18,580	-10,180
Net realized gains (losses) on interest rate swaps	-5,391	-5,194	-10,921	-9,592
Net gains (losses) on interest rate swaps	7,787	-16,186	7,659	-19,772
Net unrealized gains (losses) on interest-only RMBS	-12,974	-2,532	-13,987	15,415
Net realized gains (losses) on sales of investments	54,117	'	54,123	16,010
Total other gains (losses)	48,930	-18,718	47,795	11,653
Net investment income (loss)	149,884	55,166	239,552	150,466
Other expenses:	'	'	'	'
Management fees	6,498	12,903	12,947	25,812
Expense recoveries from Manager	-3,315	'	-5,170	'
Net management fees	3,183	12,903	7,777	25,812
Provision for loan losses, net	-1,703	-1,059	-1,279	-892
General and administrative expenses	5,197	2,541	10,044	4,530
Total other expenses	6,677	14,385	16,542	29,450
Income (loss) before income taxes	143,207	40,781	223,010	121,016
Income taxes	0	0	2	2
Net income (loss)	143,207	40,781	223,008	121,014
Net income (loss) per share available to common shareholders:	'	'	'	'
Basic	$0.14	$0.04	$0.22	$0.12
Diluted	$0.14	$0.04	$0.22	$0.12
Weighted average number of common shares outstanding:	'	'	'	'
Basic	1,027,066,041	1,026,809,700	1,027,052,341	1,026,785,896
Diluted	1,027,593,441	1,027,505,247	1,027,594,472	1,027,497,417
Dividends declared per share of common stock	$0.09	$0.09	$0.18	$0.20
Comprehensive income (loss):	'	'	'	'
Net income (loss)	143,207	40,781	223,008	121,014
Other comprehensive income (loss):	'	'	'	'
Unrealized gains (losses) on available-for-sale securities, net	-22,582	-4,021	95,012	119,113
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	'	65,687	6,163	114,051
Reclassification adjustment for net realized losses (gains) included in net income (loss)	-54,117	'	-54,123	-16,010
Other comprehensive income (loss)	-76,699	61,666	47,052	217,154
Comprehensive income (loss)	66,508	102,447	270,060	338,168
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	93,936	109,493	190,664	207,842
Interest expense, Non-recourse liabilities of consolidated VIEs	($24,982)	($19,480)	($51,978)	($53,529)

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
Beginning Balance at Dec. 31, 2011	$3,047,619		$10,267	$3,603,739	$433,453	($999,840)
Net income	121,014		'	'	'	121,014
Unrealized gains (losses) on available-for-sale securities, net	119,113		'	'	119,113	'
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	114,051		'	'	114,051	'
Reclassification adjustment for net realized losses (gains) included in net income (loss)	-16,010		'	'	-16,010	'
Proceeds from direct purchase and dividend reinvestment	117		1	116	'	'
Proceeds from restricted stock grants	169		'	169	'	'
Common dividends declared	-205,359		'	'	'	-205,359
Ending Balance at Jun. 30, 2012	3,180,714		10,268	3,604,024	650,607	-1,084,185
Beginning Balance at Dec. 31, 2012	3,542,479	[1]	10,268	3,604,554	989,936	-1,062,279
Net income	223,008		'	'	'	223,008
Unrealized gains (losses) on available-for-sale securities, net	95,012		'	'	95,012	'
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses	6,163		'	'	6,163	'
Reclassification adjustment for net realized losses (gains) included in net income (loss)	-54,123		'	'	-54,123	'
Proceeds from restricted stock grants	163		3	160	'	'
Common dividends declared	-184,869		'	'	'	-184,869
Ending Balance at Jun. 30, 2013	$3,627,833		$10,271	$3,604,714	$1,036,988	($1,024,140)
[1]	Derived from the audited consolidated financial statements.

Consolidated_Statements_of_Cha1

Consolidated Statements of Changes in Stockholders' Equity (Deficit) (Parenthetical) (USD $)	3 Months Ended		6 Months Ended
	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Common dividends declared, per share	$0.09	$0.09	$0.18	$0.20

Consolidated_Statements_of_Cas

Consolidated Statements of Cash Flows (USD $)	6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013		Jun. 30, 2012
Cash Flows From Operating Activities:	'		'
Net income (loss)	$223,008		$121,014
Adjustments to reconcile net income to net cash provided by (used in) operating activities:	'		'
(Accretion) amortization of investment discounts/premiums, net	-40,603		-28,340
Amortization of deferred financing costs	3,850		5,265
Accretion (amortization) of securitized debt discounts/premiums, net	4,753		-883
Net unrealized losses (gains) on interest rate swaps	-18,580		10,180
Net unrealized losses (gains) on interest-only RMBS	13,987		-15,415
Net realized losses (gains) on sales of investments	-54,123		-16,010
Net other-than-temporary credit impairment losses	6,163		114,051
Provision for loan losses, net	-1,279		-892
Equity-based compensation expense	163		169
Changes in operating assets:	'		'
Decrease (increase) in accrued interest receivable, net	1,795		-725
Decrease (increase) in other assets	675		447
Changes in operating liabilities:	'		'
Increase (decrease) in accounts payable and other liabilities	1,129		-79
Increase (decrease) in investment management fees and expenses payable to affiliate	-1,877		7
Increase (decrease) in accrued interest payable, net	-3,008		610
Net cash provided by (used in) operating activities	136,053		189,399
Cash Flows From Investing Activities:	'		'
Net cash provided by (used in) investing activities	222,438		-467,824
Cash Flows From Financing Activities:	'		'
Proceeds from repurchase agreements	3,633,247		3,918,315
Payments on repurchase agreements	-3,683,131		-4,229,216
Payment of deferred financing costs	'		-8,073
Proceeds from securitized debt borrowings, collateralized by loans held for investment	'		1,101,526
Payments on securitized debt borrowings, collateralized by loans held for investment	-363,451		-110,495
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	-213,292		-257,938
Net proceeds from direct purchase and dividend reinvestment	'		117
Common dividends paid	-184,864		-225,883
Net cash provided by (used in) financing activities	-811,491		188,353
Net increase (decrease) in cash and cash equivalents	-453,000		-90,072
Cash and cash equivalents at beginning of period	621,153	[1]	206,299
Cash and cash equivalents at end of period	168,153		116,227
Supplemental disclosure of cash flow information:	'		'
Interest received	214,552		283,015
Interest paid	49,846		58,601
Management fees and expenses paid to affiliate	14,824		25,805
Non-cash investing activities:	'		'
Payable for investments purchased	'		14,863
Net change in unrealized gain (loss) on available-for sale securities	47,052		217,154
Non-cash financing activities:	'		'
Common dividends declared, not yet paid	92,436		92,413
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	-54,123		-16,010
Cash Flows From Investing Activities:	'		'
Purchases	-1,109,346		-101,764
Sales	429,562		79,059
Principal payments	303,510		362,625
Residential Mortgage-Backed Securities transferred to consolidated VIEs [Member]	'		'
Cash Flows From Investing Activities:	'		'
Principal payments	230,947		263,772
Securitized Loans [Member]	'		'
Cash Flows From Investing Activities:	'		'
Purchases	'		-1,185,664
Principal payments	$367,765		$114,148
[1]	Derived from the audited consolidated financial statements.

Organization

Organization	6 Months Ended
	Jun. 30, 2013
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	6 Months Ended
	Jun. 30, 2013
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. These statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Annual Report on Form 10-K for the year ended December 31, 2012. Certain prior year amounts have been reclassified to conform to 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.
	The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. 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 VIEs’ 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 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.
	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.
	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 securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) and jumbo, prime, residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio.
	The Company is not obligated to provide, nor has it provided, any financial support to these consolidated securitization vehicles.
	(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 June 30, 2013 and December 31, 2012.
	(d) Agency and Non-Agency Residential Mortgage-Backed Securities
	The Company invests in RMBS representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency RMBS and 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 (“IO”) strips, in Other comprehensive income (loss) in the Consolidated Statements of Operations and Comprehensive Income (Loss). IO 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
	The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“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 and 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 IO Agency and Non-Agency RMBS strips. IO RMBS strips 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 strips 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 strips to simplify the reporting of changes in fair value. The IO RMBS strips are included in RMBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Interest income on IO RMBS strips 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 RMBS strips was $6.9 million and $7.7 million for the quarters ended June 30, 2013, and 2012, respectively. Interest income reported on IO securities was $10.2 million and $13.7 million for the six months ended June 30, 2013 and 2012, 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 associated debt using the interest method of amortization. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. 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 generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain 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. 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, and borrowers that have declared bankruptcy. 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. Loans with specific reserves are individually evaluated for impairment. 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 has evaluated each agreement and determined that each of the repurchase agreements 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, collateralized by 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, collateralized by Non-Agency RMBS 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. 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, interest rate caps, options, and futures as a means of managing its interest rate risk as well as to enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income (loss). Unrealized gains (losses) on derivatives are removed from net income (loss) to arrive at cash flows from operating activities. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements.
The Company elects to net by counterparty the fair value of its derivative contracts when appropriate. 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 cash 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 amortized cost 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.
A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax benefits that would affect its financial position or require disclosure. No accruals for penalties and interest were necessary as of June 30, 2013 or December 31, 2012.
(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.
(o) Stock-Based Compensation
The Company accounts for stock-based compensation awards granted to the employees of FIDAC and FIDAC’s affiliates at the fair value of the stock-based compensation provided. 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. Stock 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.
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 is 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 includes 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. The Company adopted this guidance in the first quarter of 2013. As this standard only requires additional disclosure, the adoption of ASU 2011-11 did not have any effect on the consolidated financial statements. The additional disclosures related to the Company’s repurchase agreements and derivatives are presented in Note 14.
Comprehensive Income (Topic 220)
In February 2013, the FASB issued ASU 2013-02 Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income. This update requires the disclosure 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. The Company adopted this guidance in the first quarter of 2013. As this standard only requires additional disclosure, the adoption of ASU 2013-02 did not have any effect on the consolidated financial statements. The additional disclosures related to accumulated OCI are presented in Note 11.
Broad Transactions
Receivables—Troubled Debt Restructurings by Creditors (Subtopic 310-40)
In January 2014, the FASB issued ASU No. 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans Upon Foreclosure. This update clarifies when the Company is considered to have obtained physical possession, from an in-substance possession or foreclosure, of a residential real estate property collateralizing a mortgage loan. Current guidance indicates that the Company should reclassify a collateralized mortgage loan such that the loan should be derecognized and the collateral asset recognized when it determines that there has been an in-substance repossession or foreclosure by the Company. This update defines the term in substance repossession or foreclosure to reduce diversity in interpretation of when such an event occurs. The guidance in this update is effective for the Company beginning January 1, 2015. The Company is evaluating the impact of this update.

Residential_MortgageBacked_Sec

Residential Mortgage-Backed Securities	6 Months Ended
	Jun. 30, 2013
Residential Mortgage-Backed Securities	'
	3.  Residential Mortgage-Backed Securities
	The Company classifies its Non-Agency RMBS as senior, senior IO, subordinated, subordinated IO, 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 consolidated re-securitization trusts was $3.2 billion and $3.3 billion at June 30, 2013 and December 31, 2012, 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 June 30, 2013 and December 31, 2012, by asset class.
	30-Jun-13
	(dollars in thousands)
			Principal or Notional				Total				Total			Amortized			Fair Value			Gross			Gross			Net
			Value				Premium				Discount			Cost						Unrealized			Unrealized			Unrealized
																				Gains			Losses			Gain/(Loss)
	Non-Agency RMBS
	Senior		$	125			$	-			$	(68	)	$	57		$	73		$	16		$	-		$	16
	Senior interest-only			5,156,156				287,600				-			287,600			264,723			14,200			(37,077	)		(22,877	)
	Subordinated			883,919				-				(511,100	)		372,819			470,586			99,999			(2,232	)		97,767
	Subordinated interest-only			255,176				14,605				-			14,605			14,047			392			(950	)		(558	)
	RMBS transferred to consolidated variable interest			4,259,153				8,252				(1,903,003	)		2,278,184			3,219,691			941,507			-			941,507
	entities ("VIEs")
	Agency RMBS			2,201,162				141,024				-			2,072,505			2,074,811			41,020			(38,714	)		2,306
	Total		$	12,755,691			$	451,481			$	(2,414,171	)	$	5,025,770		$	6,043,931		$	1,097,134		$	(78,973	)	$	1,018,161
	31-Dec-12
	(dollars in thousands)
			Principal or Notional				Total				Total			Amortized			Fair Value			Gross			Gross			Net
			Value				Premium				Discount			Cost						Unrealized			Unrealized			Unrealized
																				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			4,610,109				8,955				(2,088,125	)		2,437,048			3,274,204			837,353			(197	)		837,156
	entities ("VIEs")
	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
	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 Quarter Ended								For the Six Months Ended
			30-Jun-13				30-Jun-12				30-Jun-13			30-Jun-12
			(dollars in thousands)								(dollars in thousands)
	Balance at beginning of period		$	2,014,789			$	2,300,876			$	2,107,387		$	2,342,462
	Purchases			-				-				-			86,847
	Accretion			(82,995	)			(92,332	)			(168,930	)		(187,440	)
	Reclassification (to) from non-accretable difference			18,297				26,247				11,665			14,585
	Sales			(28,404	)			-				(28,435	)		(21,663	)
	Balance at end of period		$	1,921,687			$	2,234,791			$	1,921,687		$	2,234,791
	The table below presents the outstanding principal balance and related amortized cost at June 30, 2013 and December 31, 2012 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.
			For the Quarter Ended				For the Year Ended
			30-Jun-13				31-Dec-12
			(dollars in thousands)
	Outstanding principal balance:
	Beginning of period		$	4,346,043			$	5,245,184
	End of period		$	4,148,066			$	4,508,475
	Amortized cost:
	Beginning of period		$	2,209,140			$	2,649,303
	End of period		$	2,127,146			$	2,268,751
	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 June 30, 2013 and December 31, 2012.  All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d).
	30-Jun-13
	(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			Unrealized			Number of Securities
			Fair Value				Losses							Fair Value			Losses						Fair Value			Losses
	Non-Agency RMBS
	Senior		$	-			$	-				-		$	-		$	-			-		$	-		$	-			-
	Senior interest-only			132,065				(16,422	)			36			51,797			(20,655	)		20			183,862			(37,077	)		56
	Subordinated			-				-				2			17,604			(2,232	)		2			17,604			(2,232	)		4
	Subordinated interest-only			8,461				(950	)			1			-			-			-			8,461			(950	)		1
	RMBS transferred to consolidated			-				-				-			-			-			-			-			-			-
VIEs
Agency RMBS			834,510				(38,714	)			23			-			-			-			834,510			(38,714	)		23
Total		$	975,036			$	(56,086	)			62		$	69,401		$	(22,887	)		22		$	1,044,437		$	(78,973	)		84
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			Unrealized			Number of Securities
		Fair Value				Losses							Fair Value			Losses						Fair Value			Losses
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			-				-				-			22,490			(197	)		1			22,490			(197	)		1
VIEs
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
At June 30, 2013, 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 $38.7 million and $317 thousand at June 30, 2013 and December 31, 2012, 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 June 30, 2013 and December 31, 2012 unrealized losses on its Agency RMBS were temporary.
Gross unrealized losses on the Company’s Non-Agency RMBS (excluding IO Agency and Non-Agency RMBS strips which are accounted for under the fair value option with changes in fair value recorded in earnings) were $2.2 million and $6.9 million at June 30, 2013 and December 31, 2012, 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 quarters and six months ended June 30, 2013 and 2012 is presented below.
		For the Quarter Ended
		30-Jun-13				30-Jun-12
		(dollars in thousands)
Total other-than-temporary impairment losses		$	-			$	(12,474	)
Portion of loss recognized in other comprehensive income (loss)			-				(53,213	)
Net other-than-temporary credit impairment losses		$	-			$	(65,687	)
		For the Six Months Ended
		30-Jun-13				30-Jun-12
		(dollars in thousands)
Total other-than-temporary impairment losses		$	-			$	(44,551	)
Portion of loss recognized in other comprehensive income (loss)			(6,163	)			(69,500	)
Net other-than-temporary credit impairment losses		$	(6,163	)		$	(114,051	)
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 Quarter Ended
		30-Jun-13				30-Jun-12
		(dollars in thousands)
Cumulative credit loss beginning balance		$	513,946			$	493,900
Additions:
Other-than-temporary impairments not previously recognized			-				58,101
Reductions for securities sold during the period			(10,760	)			-
Increases related to other-than-temporary impairments on securities with previously recognized other-than-			-				7,586
temporary impairments
Reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security			(4,934	)			(18,928	)
Cumulative credit loss ending balance		$	498,252			$	540,659
For the Six Months Ended
		30-Jun-13				30-Jun-12
		(dollars in thousands)
Cumulative credit loss beginning balance		$	510,089			$	452,060
Additions:
Other-than-temporary impairments not previously recognized			712				89,928
Reductions for securities sold during the period			(11,119	)			(290	)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-			5,451				24,123
temporary impairments
Reductions for increases in cash flows expected to be collected over the remaining life of the securities			(6,881	)			(25,162	)
Cumulative credit impairment loss ending balance		$	498,252			$	540,659
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 Six Months Ended
			30-Jun-13	30-Jun-12
Loss Severity
	Weighted Average		45%	58%
	Range		41% - 69%	45% - 86%
60+ days delinquent
	Weighted Average		16%	28%
	Range		0% - 34%	9% - 53%
Credit Enhancement (1)
	Weighted Average		10%	10%
	Range		0% - 48%	0% - 75%
3 Month CPR
	Weighted Average		18%	16%
	Range		0% - 25%	3% - 30%
12 Month CPR
	Weighted Average		20%	16%
	Range		9% - 35%	8% - 25%
(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 June 30, 2013 and December 31, 2012.  IO 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 June 30, 2013, IO RMBS had a net unrealized loss of $18.8 million and had an amortized cost of $356.8 million. At December 31, 2012, IO RMBS had a net unrealized loss of $4.8 million and had an amortized cost of $166.0 million.  The fair value of IOs at June 30, 2013 and December 31, 2012 was $338.0 million, and $161.2 million, respectively. All changes in fair value of IOs are reflected in Net income (loss).
30-Jun-13
(dollars in thousands)
		Gross Unrealized				Gross Unrealized				Total Gross			Gross Unrealized			Gross Unrealized			Total Gross
		Gain Included in Accumulated Other Comprehensive				Gain Included in Accumulated Deficit				Unrealized Gain			Loss Included in Accumulated Other Comprehensive			Loss Included in Accumulated Deficit			Unrealized Loss
		Income											Income
Non-Agency RMBS
Senior		$	16			$	-			$	16		$	-		$	-		$	-
Senior interest-only			-				14,200				14,200			-			(37,077	)		(37,077	)
Subordinated			99,999				-				99,999			(2,232	)		-			(2,232	)
Subordinated interest-only			1				391				392			-			(950	)		(950	)
RMBS transferred to consolidated VIEs			936,259				5,248				941,507			-			-			-
Agency RMBS			40,583				437				41,020			(37,638	)		(1,076	)		(38,714	)
Total		$	1,076,858			$	20,276			$	1,097,134		$	(39,870	)	$	(39,103	)	$	(78,973	)
31-Dec-12
(dollars in thousands)
		Gross Unrealized				Gross Unrealized				Total Gross			Gross Unrealized			Gross Unrealized			Total Gross
		Gain Included in Accumulated Other Comprehensive				Gain Included in Accumulated Deficit				Unrealized Gain			Loss Included in Accumulated Other Comprehensive			Loss Included in Accumulated Deficit			Unrealized Loss
		Income											Income
Non-Agency RMBS
Senior		$	16			$	-			$	16		$	-		$	-		$	-
Senior interest-only			-				7,976				7,976			-			(20,975	)		(20,975	)
Subordinated			81,492				-				81,492			(6,747	)		-			(6,747	)
Subordinated interest-only			-				1,466				1,466			-			(1,393	)		(1,393	)
RMBS transferred to consolidated VIEs			829,308				8,045				837,353			(197	)		-			(197	)
Agency RMBS			86,062				357				86,419			-			(317	)		(317	)
Total		$	996,878			$	17,844			$	1,014,722		$	(6,944	)	$	(22,685	)	$	(29,629	)
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 June 30, 2013 and December 31, 2012.
		30-Jun-13																	31-Dec-12
		Principal or Notional				Weighted Average Amortized				Weighted Average			Weighted Average Coupon			Weighted			Principal or Notional			Weighted Average Amortized			Weighted Average			Weighted Average Coupon			Weighted Average Yield at
		Value at				Cost Basis				Fair Value						Average Yield			Value at Period-End			Cost Basis			Fair Value						Period-End
		Period-End														at			(dollars in thousands)												-1
		(dollars in thousands)														Period-End
																-1
Non-Agency Mortgage-Backed Securities
Senior		$	125			$	45.92			$	58.75			0	%		11.5	%	$	126		$	57.02		$	67			0	%		11.9	%
Senior, interest only		$	5,156,156			$	5.58			$	5.13			2.04	%		16.51	%	$	3,012,868		$	4.51		$	4.08			1.76	%		10.36	%
Subordinated		$	883,919			$	42.18			$	53.24			3.07	%		12.4	%	$	1,057,821		$	44.72		$	51.79			3.18	%		11.07	%
Subordinated, interest only		$	255,176			$	5.72			$	5.51			1.93	%		8.23	%	$	256,072		$	6.32		$	6.35			2.25	%		8.9	%
RMBS transferred to consolidated		$	4,259,153			$	54.59			$	77.16			4.76	%		15.66	%	$	4,610,109		$	53.96		$	72.5			4.88	%		15.44	%
variable interest entities
Agency Mortgage-Backed Securities		$	2,201,162			$	107.3			$	107.42			4.22	%		3.13	%	$	1,756,580		$	103.09		$	108.24			4.65	%		3.59	%
(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 June 30, 2013 and December 31, 2012.
		30-Jun-13	31-Dec-12
AAA		0.01%	0.01%
AA		0.30%	0.46%
BB		1.69%	1.41%
B		1.19%	1.19%
Below B or not rated		96.81%	96.93%
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 June 30, 2013 and December 31, 2012 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.
30-Jun-13
(dollars in thousands)
		Weighted Average Life
		Less than one year				Greater than one				Greater than five			Greater than			Total
						year and less than				years and less			ten years
						five years				than ten years
Fair value
Non-Agency RMBS
Senior		$	-			$	-			$	73		$	-		$	73
Senior interest-only			98				68,987				162,075			33,563			264,723
Subordinated			5,372				70,843				284,701			109,670			470,586
Subordinated interest-only			-				-				12,433			1,614			14,047
RMBS transferred to consolidated VIEs			4,853				375,596				2,024,480			814,762			3,219,691
Agency RMBS			72				201,424				1,846,046			27,269			2,074,811
Total fair value		$	10,395			$	716,850			$	4,329,808		$	986,878		$	6,043,931
Amortized cost
Non-Agency RMBS
Senior		$	-			$	-			$	57		$	-		$	57
Senior interest-only			1,199				73,835				177,129			35,437			287,600
Subordinated			4,162				61,837				226,134			80,686			372,819
Subordinated interest-only			-				-				13,211			1,394			14,605
RMBS transferred to consolidated VIEs			4,553				296,190				1,392,243			585,198			2,278,184
Agency RMBS			83				192,177				1,853,168			27,077			2,072,505
Total amortized cost		$	9,997			$	624,039			$	3,661,942		$	729,792		$	5,025,770
31-Dec-12
(dollars in thousands)
		Weighted Average Life
		Less than one year				Greater than one				Greater than five			Greater than			Total
						year and less than				years and less			ten 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
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 June 30, 2013, 99.2% of the Non-Agency RMBS collateral was Alt-A.  At December 31, 2012, 99.5% of the Non-Agency RMBS collateral was Alt-A.
The Non-Agency RMBS in the Portfolio have the following collateral characteristics at June 30, 2013 and December 31, 2012.
	30-Jun-13					31-Dec-12
Weighted average maturity (years)				25.01					24.8
Weighted average amortized loan to value (1)				70.6	%				71.6	%
Weighted average FICO (2)				713					717
Weighted average loan balance (in thousands)			$	415				$	453.1
Weighted average percentage owner occupied				84.7	%				85.1	%
Weighted average percentage single family residence				65.7	%				65.5	%
Weighted average current credit enhancement				1.9	%				3.1	%
Weighted average geographic concentration of top five states	CA			35.6	%	CA			36.7	%
	FL			9.2	%	FL			8.7	%
	NY			6.5	%	NY			6.4	%
	NJ			2.7	%	VA			2.4	%
	MD			2.4	%	NJ			2.8	%
(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 June 30, 2013 and December 31, 2012.
Origination Year		30-Jun-13				31-Dec-12
2000			0.8	%			0.2	%
2001			1.3	%			0.2	%
2002			0.7	%			0	%
2003			0.9	%			0.4	%
2004			1.9	%			0.6	%
2005			17.2	%			14.3	%
2006			33.3	%			34.6	%
2007			42.1	%			46.7	%
2008			1.8	%			3	%
Total			100	%			100	%
During the quarter ended June 30, 2013, the Company sold RMBS with a carrying value of $375.3 million for a gross realized gain of $54.1 million.  During the quarter ended June 30, 2012, the Company had no sales of RMBS.  During the six months ended June 30, 2013, the Company sold RMBS with a carrying value of $375.5 million for a gross realized gain of $54.1 million.  During the six months ended June 30, 2012, the Company sold RMBS with a carrying value of $63.0 million for a gross realized gains of $16.0 million.  There were no securities sold for a gross realized loss for the three and six month periods ended June 30, 2013 or 2012.

Securitized_Loans_Held_for_Inv

Securitized Loans Held for Investment	6 Months Ended
	Jun. 30, 2013
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. There were no new securitizations during the quarter and six months ended June 30, 2013.
	The following table provides a summary of the changes in the carrying value of securitized loans held for investment at June 30, 2013 and December 31, 2012:
			For the Six Months Ended				For the Year Ended
			30-Jun-13				31-Dec-12
			(dollars in thousands)
	Balance, beginning of period		$	1,300,131			$	256,632
	Purchases			-				1,531,014
	Principal paydowns			(367,765	)			(477,555	)
	Net periodic amortization (accretion)			(9,079	)			(9,592	)
	Change to loan loss provision			1,279				(368	)
	Balance, end of period		$	924,566			$	1,300,131
	The following table represents the Company’s securitized residential mortgage loans classified as held for investment at June 30, 2013 and December 31, 2012:
			30-Jun-13				31-Dec-12
		(dollars in thousands)
	Securitized loans, at amortized cost		$	934,152			$	1,311,755
	Less: allowance for loan losses			9,586				11,624
	Securitized loans held for investment		$	924,566			$	1,300,131
	The securitized loan portfolio is collateralized by prime, jumbo, first lien residential mortgages of which 36.4% were originated during 2012, 39.4% were originated during 2011, 8.1% during 2010, and the remaining 16.1% of the loans were originated prior to 2010.  A summary of key characteristics of these loans follows.
		30-Jun-13						31-Dec-12
	Number of loans				1,207						1,618
	Weighted average maturity (years)				28						28.3
	Weighted average loan to value (1)				71	%					71.2	%
	Weighted average FICO (2)				766						768
	Weighted average loan balance (in thousands)			$	784.8					$	794.1
	Weighted average percentage owner occupied				93.9	%					94.6	%
	Weighted average percentage single family residence				69.6	%					70.6	%
	Weighted average geographic concentration of top five states	CA			34.9	%		CA			38.1	%
		NY			6.7	%		VA			6.3	%
		VA			5.4	%		NY			6.3	%
		NJ			5	%		WA			5.2	%
		WA			4.9	%		NJ			4.6	%
	(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 at June 30, 2013 and December 31, 2012:
			For the Six Months Ended				For the Year Ended
			30-Jun-13				31-Dec-12
			(dollars in thousands)
	Balance, beginning of period		$	11,624			$	13,938
	Provision for loan losses			(1,279	)			368
	Charge-offs			(759	)			(2,682	)
	Balance, end of period		$	9,586			$	11,624
	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 June 30, 2013 and December 31, 2012 was $3.3 million and $5.0 million, respectively.  The balance in the allowance for loan losses related to the specific reserve at June 30, 2013 and December 31, 2012 was $6.3 million and $6.6 million, respectively.
	The Company’s accounting policy for the provision for loan losses is described in Note 2(g).
	The total unpaid principal balance of impaired loans for which the Company established a specific reserve was $27.0 million and $29.1 million at June 30, 2013 and December 31, 2012, respectively.  The Company’s recorded investment in impaired loans for which there is a related allowance for credit losses at June 30, 2013 and December 31, 2012 was $19.4 million and $21.8 million, respectively.  Interest income on impaired loans is not significant.
	The total unpaid principal balance of non-impaired loans for which the Company established a general reserve was $889.4 million and $1.3 billion at June 30, 2013 and December 31, 2012, respectively.  The Company’s recorded investment in loans that are not impaired for which there is a related general reserve for credit losses at June 30, 2013 and December 31, 2012 was $905.2 million and $1.3 billion, respectively.
	The following table summarizes the outstanding principal balance of loans 30 days delinquent and greater as reported by the servicer at June 30, 2013 and December 31, 2012.
			30 Days				60 Days				90+ Days		Bankruptcy		Foreclosure		REO		Total
			Delinquent				Delinquent				Delinquent
	(dollars in thousands)
	30-Jun-13		$	3,972			$	0			$	2,919	$	0	$	5,200	$	0	$	12,091
	31-Dec-12		$	3,110			$	1,186			$	4,045	$	0	$	4,247	$	1,390	$	13,978
	With the exception of its ability to approve certain loan modifications, the Company is not involved with the servicing or modification of 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 six months ended June 30, 2013 and 2012.
			Number of Loans				Unpaid Principal				Unpaid Principal		Amortized Cost of Modified Loans		Amortized Cost of		Amortized Cost of
			Modified During				Balance of Modified				Balance of Modified Loans (Post-modification)				Modified Loans For		Modified Loans For
			Period				Loans (Pre-								Which There is		Which There is
							modification)								an Allowance for		No Allowance for
															Loan Losses		Loan Losses
	(dollars in thousands)
	Six Months Ended
	30-Jun-13			3			$	2,349			$	2,358	$	2,248	$	2,248	$	0
	30-Jun-12			6			$	3,424			$	3,536	$	3,518	$	3,518	$	0
Loans are modified by the servicer as a method of loss mitigation.  Based on the information available, during the quarter and six months ended June 30, 2013, the Company determined that all loans modified by the servicer were considered TDRs, as defined under GAAP. A TDR 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 quarters and six months ended June 30, 2013 and 2012 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 TDRs, the $4.9 million specific reserve related to TDRs as of June 30, 2013 will be recognized in net income in future periods by way of a decrease in the provision for loan losses.  If there are further modifications, the reduction of the cashflow is reflected in the provision for loan losses.
As of June 30, 2013, there were no loans that were modified in the past twelve months and delinquent on scheduled payments.

Fair_Value_Measurements

Fair Value Measurements	6 Months Ended
	Jun. 30, 2013
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 having 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 RMBS 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, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps as Level 2 inputs in the fair value hierarchy.
	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at June 30, 2013 and December 31, 2012 is presented below.
	30-Jun-13
	(dollars in thousands)
		Level 1				Level 2				Level 3
	Assets:
	Non-Agency RMBS
	Senior	$	-			$	-			$	73
	Senior interest-only		-				-				264,723
	Subordinated		-				-				470,586
	Subordinated interest-only		-				-				14,047
	RMBS transferred to consolidated VIEs		-				-				3,219,691
	Agency RMBS		-				2,074,811				-
	Interest rate swaps		-				-				-
	Liabilities:
	Interest rate swaps		-				35,359				-
	Total	$	-			$	2,110,170			$	3,969,120
	31-Dec-12
	(dollars in thousands)
		Level 1				Level 2				Level 3
	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 RMBS		-				1,806,697				-
	Liabilities:
	Interest rate swaps		-				53,939				-
	Total	$	-			$	1,860,636			$	3,961,208
	The table below provides a summary of the changes in the fair value of securities classified as Level 3 at June 30, 2013 and December 31, 2012.
	Fair Value Reconciliation, Level 3
		For the Six Months Ended				For the Year Ended
		30-Jun-13				31-Dec-12
		(dollars in thousands)
	Non-Agency RMBS
	Beginning balance Level 3 assets	$	3,961,208			$	4,088,945
	Transfers in to Level 3 assets		-				-
	Transfers out of Level 3 assets		-				-
	Purchases		174,661				122,509
	Principal payments		(234,236	)			(516,370	)
	Sales		(143,864	)			(328,261	)
	Accretion of purchase discounts		59,435				98,804
	Gains (losses) included in net income
	Other than temporary credit impairment losses		(6,163	)			(132,250	)
	Realized gains (losses) on sales		41,258				48,435
Net unrealized gains (losses) on interest-only		(13,309	)			804
RMBS
Gains (losses) included in other comprehensive
income
Total unrealized gains (losses) for the period		130,130				578,592
Ending balance Level 3 assets	$	3,969,120			$	3,961,208
There were no transfers to or from Level 3 for the six months ended June 30, 2013 and for the year ended December 31, 2012.
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, constant prepayment speed (“CPR”), cumulative default rate, and the loss severity.
Prepayment speeds, as reflected by the 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 the Company earns 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 the Company amortizes the purchase premium.  For RMBS investments purchased at a discount, as prepayment speeds increase, the amount of income the Company earns 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 (“CDR”) 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 June 30, 2013 and December 31, 2012 follows:
	30-Jun-13														31-Dec-12
	Significant Inputs														Significant Inputs
	Weighted Average				CPR				CDR			Loss			Weighted Average			CPR			CDR			Loss
	Discount Rate											Severity			Discount Rate									Severity
	Range														Range
Non-Agency RMBS
Senior		7	%			6% - 6	%			0% - 0	%		50% - 50	%		7.5	%		11% - 11	%		0% - 3	%		50% - 58	%
Senior interest-only		11.6	%			1% - 28	%			0% - 22	%		50% - 85	%		13.9	%		1% - 25	%		0% - 25	%		50% - 85	%
Subordinated		27.8	%			1% - 20	%			0% - 22	%		50% - 85	%		25.9	%		1% - 18	%		0% - 21	%		50% - 85	%
Subordinated interest-only		15.9	%			4% - 13	%			0% - 20	%		50% - 64	%		13.3	%		4% - 11	%		0% - 21	%		50% - 68	%
RMBS transferred to consolidated		5.2	%			1% - 20	%			0% - 32	%		50% - 85	%		5.8	%		1% - 15	%		0% - 36	%		50% - 85	%
VIEs
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 an 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 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.  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 not carried at fair value on a recurring basis at June 30, 2013 and December 31, 2012.
	30-Jun-13
	(dollars in thousands)
	Level in Fair Value			Carrying				Fair Value
	Hierarchy			Amount
Securitized loans held for investment	3				924,566				908,018
Repurchase agreements	2				(1,478,141	)			(1,480,522	)
Securitized debt, collateralized by Non-Agency RMBS	3				(1,128,752	)			(1,143,819	)
Securitized debt, collateralized by loans held for investment	3				(805,229	)			(797,602	)
	31-Dec-12
	(dollars in thousands)
	Level in Fair Value			Carrying				Fair Value
	Hierarchy			Amount
Securitized loans held for investment	3				1,300,131				1,320,696
Repurchase agreements	2				(1,528,025	)			(1,531,511	)
Securitized debt, collateralized by Non-Agency RMBS	3				(1,336,261	)			(1,334,551	)
Securitized debt, collateralized by loans held for investment	3				(1,169,710	)			(1,194,747	)

Repurchase_Agreements

Repurchase Agreements	6 Months Ended
	Jun. 30, 2013
Repurchase Agreements	'
	6.  Repurchase Agreements
	The Company had outstanding $1.5 billion and $1.5 billion of repurchase agreements with weighted average borrowing rates of 0.43% and 0.52% and weighted average remaining maturities of 69 days and 56 days as of June 30, 2013 and December 31, 2012, respectively.  At June 30, 2013 and December 31, 2012, Agency RMBS pledged as collateral under these repurchase agreements had an estimated fair value of $1.6 billion, respectively.  The average daily balances of the Company’s repurchase agreements for the six months ended June 30, 2013 and the year ended December 31, 2012 were $1.4 billion and $2.1 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 June 30, 2013 and December 31, 2012, the repurchase agreements collateralized by Agency RMBS had the following remaining maturities.
		30-Jun-13		31-Dec-12
		(dollars in thousands)
	Overnight	$	6,655	$	-
	1-29 days		771,163		732,809
	30 to 59 days		514,872		325,915
	60 to 89 days		-		-
	90 to 119 days		-		211,137
	Greater than or equal to 120 days		185,451		258,164
	Total	$	1,478,141	$	1,528,025
	At June 30, 2013 and December 31, 2012, 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	6 Months Ended
	Jun. 30, 2013
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 June 30, 2013 the Company’s securitized debt collateralized by residential mortgage loans had a principal balance of $806.5 million.  The debt matures between the years 2023 and 2042.  At June 30, 2013 the debt carried a weighted average cost of financing equal to 3.35%.  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 June 30, 2013 the Company’s securitized debt collateralized by Non-Agency RMBS had a principal balance of $1.2 billion.  The debt matures between the years 2035 and 2047.  At June 30, 2013 the debt carried a weighted average cost of financing equal to 4.36%.  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%.
	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 June 30, 2013 and December 31, 2012, 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.
		30-Jun-13		31-Dec-12
		(dollars in thousands)
	Within One Year	$	511,814	$	658,423
	One to Three Years		640,811		793,150
	Three to Five Years		327,256		430,993
	Greater Than or Equal to Five Years		380,786		555,717
	Total	$	1,860,667	$	2,438,283
	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	6 Months Ended
	Jun. 30, 2013
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.
	The Company’s accounting policy for accounting and consolidation considerations of VIEs is described in Note 2(a).
	As of June 30, 2013, the Company’s Consolidated Statements of Financial Condition includes ten consolidated VIEs with $4.2 billion of assets and $1.9 billion of liabilities.  As of December 31, 2012, the Company’s Consolidated Statements of Financial Condition includes ten consolidated VIEs with $4.6 billion of assets and $2.5 billion of liabilities.
	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 June 30, 2013 is the inclusion of $3.2 billion of Non-Agency RMBS at fair value representing the underlying securities of the trusts, the inclusion of $924.6 million of securitized loans held for investment, the recognition of $1.1 billion of securitized debt associated with Non-Agency RMBS transferred to consolidated VIEs and $805.2 million of securitized debt associated with loans held for investment. In addition, at June 30, 2013 the Company recognized $20.1 million and $6.5 million of accrued interest receivable and accrued interest payable, respectively, of the securitizations.
	The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of June 30, 2013 and December 31, 2012.
		30-Jun-13			31-Dec-12
		(dollars in thousands)
	Assets
	Non-Agency RMBS transferred to consolidated VIEs	$	3,219,691		$	3,274,204
	Securitized loans held for investment		924,566			1,300,131
	Accrued interest receivable		20,136			24,082
	Liabilities
	Securitized debt, collateralized by Non-Agency RMBS	$	1,128,752		$	1,336,261
	Securitized debt, collateralized by loans held for investment		805,229			1,169,710
	Accrued interest payable		6,494			8,358
	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 Quarter Ended
		30-Jun-13			30-Jun-12
		(dollars in thousands)
	Interest income, Assets of consolidated VIEs	$	93,936		$	109,493
	Interest expense, Non-recourse liabilities of VIEs		(24,982	)		(19,480	)
	Net interest income	$	68,954		$	90,013
	Total other-than-temporary impairment losses		-		$	(3,883	)
	Portion of loss recognized in other comprehensive income (loss)		-			(48,081	)
	Net other-than-temporary credit impairment losses	$	-		$	(51,964	)
		For the Six Months Ended
		30-Jun-13			30-Jun-12
		(dollars in thousands)
	Interest income, Assets of consolidated VIEs	$	190,664		$	207,842
	Interest expense, Non-recourse liabilities of VIEs		(51,978	)		(53,529	)
	Net interest income	$	138,686		$	154,313
	Total other-than-temporary impairment losses		-		$	(7,269	)
	Portion of loss recognized in other comprehensive income (loss)		(135	)		(73,132	)
	Net other-than-temporary credit impairment losses	$	(135	)	$	(80,401	)
	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 Quarter Ended
		30-Jun-13			30-Jun-12
		(dollars in thousands)
	(Accretion) amortization of investment discounts/premiums, net		(32,827	)		(32,533	)
	Amortization of deferred financing costs		1,736			2,044
	Accretion (amortization) of securitized debt discounts/premiums, net		2,940			(8,986	)
	Payment of deferred financing costs		-			(3,704	)
	Proceeds from securitized debt borrowings, collateralized by loans held for investment		-			405,413
	Principal payments, Non-Agency RMBS transferred to consolidated VIE's		125,397			131,142
	Principal payments, Securitized loans held for investment		156,326			93,087
	Payments on securitized debt borrowings, collateralized by loans held for investment		(154,021	)		(90,765	)
	Payments on securitized debt borrowings, collateralized by Non-Agency RMBS		(115,837	)		(128,049	)
	Decrease (increase) in accrued interest receivable		2,142			1,557
	Increase (decrease) in accrued interest payable		(890	)		163
	Net cash provided by/(used in) consolidated VIEs	$	(15,034	)	$	369,369
		For the Six Months Ended
		30-Jun-13			30-Jun-12
		(dollars in thousands)
	(Accretion) amortization of investment discounts/premiums, net		(63,149	)		(64,663	)
	Amortization of deferred financing costs		3,850		$	5,265
	Accretion (amortization) of securitized debt discounts/premiums, net		4,753			(883	)
	Payment of deferred financing costs		-			(8,073	)
	Proceeds from securitized debt borrowings, collateralized by loans held for investment		-			1,101,526
	Principal payments, Non-Agency RMBS transferred to consolidated VIE's		230,947			263,772
	Principal payments, Securitized loans held for investment		367,765			114,148
	Payments on securitized debt borrowings, collateralized by loans held for investment		(363,451	)		(110,495	)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS		(213,292	)		(257,938	)
Decrease (increase) in accrued interest receivable		3,946			(474	)
Increase (decrease) in accrued interest payable		(1,864	)		1,427
Net cash provided by/(used in) consolidated VIEs	$	(30,495	)	$	1,043,612
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.
	30-Jun-13						31-Dec-12
	Amortized Cost			Fair Value			Amortized Cost		Fair Value
	(dollars in thousands)
Assets
Non-Agency RMBS
Senior	$	57		$	73		$	72	$	85
Senior interest-only		-			78			-		128
Subordinated		176			2,125			581		2,266
Agency RMBS		813			584			1,198		1,001
Total	$	1,046		$	2,860		$	1,851	$	3,480

Interest_Rate_Swaps

Interest Rate Swaps	6 Months Ended
	Jun. 30, 2013
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 for GAAP.  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 14 for further discussion of counterparty credit risk.
	The table below summarizes the location and fair value of interest rate swaps reported in the Consolidated Statements of Financial Condition as of June 30, 2013 and December 31, 2012.
		Location on Consolidated Statements of		Notional Amount				Net Estimated Fair				Net Estimated Fair Value
		Financial Condition						Value/Carrying Value				of Agency RMBS
												Pledged as Collateral
		(dollars in thousands)
	30-Jun-13	Liabilities		$	1,355,000			$	(35,359	)		$	37,719
	31-Dec-12	Liabilities		$	1,355,000			$	(53,939	)		$	60,382
	The effect of the Company’s interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss) is presented below.
		Location on Consolidated Statements of Operations and
		Comprehensive Income (Loss)
		Net Unrealized Gains (Losses) on				Net Realized Gains (Losses)
		Interest Rate Swaps				on Interest Rate Swaps
		(dollars in thousands)
	For the Quarter Ended:
	30-Jun-13	$	13,178			$	(5,391	)
	30-Jun-12	$	(10,992	)		$	(5,194	)
	For the Six Months Ended:
	30-Jun-13	$	18,580			$	(10,921	)
	30-Jun-12	$	(10,180	)		$	(9,592	)
	The weighted average pay rate on the Company’s interest rate swaps at June 30, 2013 was 1.81% and the weighted average receive rate was 0.19%.  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 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 June 30, 2013 and December 31, 2012.
		30-Jun-13
		(dollars in thousands)
		Interest Rate Swaps - Asset								Interest Rate Swaps - Liability
		Notional				Unrealized Gains				Notional				Unrealized Losses
	Gross Amounts	$	-			$	-			$	1,355,000			$	35,359
	Amounts Offset		-				-				-				-
	Netted Amounts	$	-			$	-			$	1,355,000			$	35,359
		31-Dec-12
		(dollars in thousands)
		Interest Rate Swaps - Asset								Interest Rate Swaps - Liability
		Notional				Unrealized Gains				Notional				Unrealized Losses
	Gross Amounts	$	-			$	-			$	1,355,000			$	53,939
	Amounts Offset		-				-				-				-
	Netted Amounts	$	-			$	-			$	1,355,000			$	53,939
	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 June 30, 2013 is approximately $35.4 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	6 Months Ended
	Jun. 30, 2013
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 quarters and six months ended June 30, 2013 and 2012.
	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.  There were no shares issued as a part of the DRSPP during the quarter and six months ended June 30, 2013 due to the suspension of the DRSPP.  During the six months ended June 30, 2012 the Company raised $117 thousand by issuing 39,000 shares through the DRSPP.  All 39,000 shares issued through the DRSPP were issued in the first quarter of 2012.
	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 common stock under the equity distribution agreement or the DRSPP until filings with the SEC have been timely made for a full year.
	During the quarter ended June 30, 2013 the Company declared dividends to common shareholders totaling $92.4 million, or $0.09 per share.  During the quarter ended June 30, 2012 the Company declared dividends to common shareholders totaling $92.4 million, or $0.09 per share.  During the six months ended June 30, 2013 the Company declared dividends to common shareholders totaling $184.9 million, or $0.18 per share.  During the six months ended June 30, 2012 the Company declared dividends to common shareholders totaling $205.4 million, or $0.20 per share.
	Earnings per share for the quarters and six months ended June 30, 2013 and 2012, respectively, are computed as follows:
		For the Quarter Ended
		30-Jun-13		30-Jun-12
		(dollars in thousands)
	Numerator:
	Net income	$	143,207	$	40,781
	Effect of dilutive securities:		-		-
	Dilutive net income  available to stockholders	$	143,207	$	40,781
	Denominator:
	Weighted average basic shares		1,027,066,041		1,026,809,700
	Effect of dilutive securities		527,400		695,547
	Weighted average diluted shares		1,027,593,441		1,027,505,247
	Net income  per average share attributable to common stockholders - Basic	$	0.14	$	0.04
	Net income  per average share attributable to common stockholders - Diluted	$	0.14	$	0.04
		For the Six Months Ended
		30-Jun-13		30-Jun-12
		(dollars in thousands)
	Numerator:
	Net income	$	223,008	$	121,014
	Effect of dilutive securities:		-		-
	Dilutive net income  available to stockholders	$	223,008	$	121,014
	Denominator:
	Weighted average basic shares		1,027,052,341		1,026,785,896
	Effect of dilutive securities		542,131		711,521
	Weighted average dilutive shares		1,027,594,472		1,027,497,417
	Net income  per average share attributable to common stockholders - Basic	$	0.22	$	0.12
	Net income  per average share attributable to common stockholders - Diluted	$	0.22	$	0.12

Accumulated_Other_Comprehensiv

Accumulated Other Comprehensive Income	6 Months Ended
	Jun. 30, 2013
Accumulated Other Comprehensive Income	'
	11.  Accumulated Other Comprehensive Income
	The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the six months ended June 30, 2013:
		30-Jun-13
		(dollars in thousands)
		Unrealized gains				Total Accumulated
		(losses) on available-				OCI Balance
		for-sale securities, net
	Balance as of December 31, 2012	$	989,936			$	989,936
	OCI before reclassifications		95,012				95,012
	Amounts reclassified from AOCI		(47,960	)			(47,960	)
	Net current period OCI		47,052				47,052
	Balance as of June 30, 2013	$	1,036,988			$	1,036,988
	The following table presents the details of the reclassifications from AOCI for the six months ended June 30, 2013:
		30-Jun-13
		(dollars in thousands)
	Details about Accumulated OCI Components	Amounts Reclassified			Affected Line on the Consolidated
		from Accumulated			Statements Of Operations And
		OCI			Comprehensive Income (Loss)
	Unrealized gains and losses on available-for-sale securities
		$	54,123		Net realized gains (losses) on sales of investments
			(6,163	)	Net other-than-temporary credit impairment losses
		$	47,960		Income (loss) before income taxes
			-		Income taxes
		$	47,960		Net of tax

Long_Term_Incentive_Plan

Long Term Incentive Plan	6 Months Ended
	Jun. 30, 2013
Long Term Incentive Plan	'
	12.  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 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 employees of FIDAC and its affiliates 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.  As of June 30, 2013 there was $1.6 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 quarter end.  That cost is expected to be recognized over a period of 4.5 years. The total fair value of shares vested, less those forfeited, during the quarters ended June 30, 2013 and 2012 was $87 thousand and $88 thousand, respectively, based on the closing price of the stock on the vesting date.  The total fair value of shares vested, less those forfeited, during the six months ended June 30, 2013 and 2012 was $160 thousand and $170 thousand, respectively.  For the quarters ended June 30, 2013 and 2012, compensation expense associated with the amortization of the fair value of the restricted stock was approximately $94 thousand and $88 thousand, respectively.  For the six months ended June 30, 2013 and 2012, compensation expense associated with the amortization of the fair value of the restricted stock was approximately $172 thousand and $169 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 quarters ended June 30, 2013 and 2012, the Company recognized $75 thousand per quarter of stock based compensation to independent directors.  For the six months ended June 30, 2013 and 2012, the Company recognized $150 thousand per period of stock based compensation to independent directors.
	The following table presents information with respect to the Company’s restricted stock awards during the quarters and six months ended June 30, 2013 and 2012:
		30-Jun-13					30-Jun-12
		Number of Shares			Weighted		Number of Shares			Weighted Average
					Average Grant					Grant Date Fair
					Date Fair Value					Value
	Unvested shares outstanding - beginning of period		556,700			17.72		726,800			17.72
	Granted		-			-		-			-
	Vested		(27,248	)		17.72		(31,398	)		17.72
	Forfeited		(2,052	)		17.72		(202	)		17.72
	Unvested shares outstanding - end of period		527,400			17.72		695,200			17.72
		30-Jun-13					30-Jun-12
		Number of Shares			Weighted		Number of Shares			Weighted Average
					Average Grant					Grant Date Fair
					Date Fair Value					Value
	Unvested shares outstanding - beginning of period		586,000			17.72		758,400			17.72
	Granted		-			-		-			-
	Vested		(54,583	)		17.72		(62,819	)		17.72
	Forfeited		(4,017	)		17.72		(381	)		17.72
	Unvested shares outstanding - end of period		527,400			17.72		695,200			17.72

Income_Taxes

Income Taxes	6 Months Ended
	Jun. 30, 2013
Income Taxes	'
	13.  Income Taxes
	For the six months ended June 30, 2013, 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.
	The Company did not recognize any income tax expense for each of the quarters ended June 30, 2013 and 2012.   For each of the six months ended June 30, 2013 and 2012, the Company recorded income tax expense of $2 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.
	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 2012, 2011 and 2010 federal, state and local tax returns remain open for examination.

Credit_Risk_and_Interest_Rate_

Credit Risk and Interest Rate Risk	6 Months Ended
	Jun. 30, 2013
Credit Risk and Interest Rate Risk	'
	14.  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 with multiple counterparties to reduce exposure to a single counterparty, where appropriate.
	Our repurchase agreements and derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions.  We present our assets and liabilities subject to such arrangements on a net basis in our consolidated statements of financial condition.  The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of June 30, 2013 and December 31, 2012.  The Company has no financial instruments subject to master netting arrangements, or similar arrangements, in an asset position on a gross basis.
		30-Jun-13
		(dollars in thousands)
										Gross Amounts Not Offset with Financial
										Assets (Liabilities) in the Consolidated
										Statements of Financial Position
		Gross Amounts of			Gross Amounts Offset		Net Amounts Offset in			Financial Instruments		Cash Collateral		Net Amount
		Recognized Assets			in the Consolidated		the Consolidated					(Received) Pledged
		(Liabilities)			Statements of Financial		Statements of Financial
					Position		Position
	Repurchase agreements	$	(1,478,141	)	$	-	$	(1,478,141	)	$	1,553,077	$	-	$	74,936
	Derivatives	$	(35,359	)		-		(35,359	)	$	37,719		-		2,360
	Total Liabilities	$	(1,513,500	)	$	-	$	(1,513,500	)	$	1,590,796	$	-	$	77,296
		31-Dec-12
		(dollars in thousands)
										Gross Amounts Not Offset with Financial
										Assets (Liabilities) in the Consolidated
										Statements of Financial Position
		Gross Amounts of			Gross Amounts Offset		Net Amounts Offset in			Financial Instruments		Cash Collateral		Net Amount
		Recognized Assets			in the Consolidated		the Consolidated					(Received) Pledged
		(Liabilities)			Statements of Financial		Statements of Financial
					Position		Position
	Repurchase agreements	$	(1,528,025	)	$	-	$	(1,528,025	)	$	1,604,560	$	-	$	76,535
	Derivatives	$	(53,939	)		-		(53,939	)	$	60,382		-		6,443
	Total Liabilities	$	(1,581,964	)	$	-	$	(1,581,964	)	$	1,664,942	$	-	$	82,978

Management_Agreement_and_Relat

Management Agreement and Related Party Transactions	6 Months Ended
	Jun. 30, 2013
Management Agreement and Related Party Transactions	'
	15.  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 quarters ended June 30, 2013 and 2012 were $6.5 million and $12.9 million respectively.  Management fees accrued and paid to FIDAC for the six months ended June 30, 2013 and 2012 were $12.9 million and $25.8 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 quarter and six months ended June 30, 2013, the Company reimbursed FIDAC approximately $129 thousand and $228 thousand for such expenses, respectively.  During the quarter and six months ended June 30, 2012, the Company reimbursed FIDAC approximately $125 thousand and $240 thousand for such expenses, respectively.
	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 quarter and six months ended June 30, 2013 is $3.3 million and $5.2 million, respectively, and is presented in the Consolidated Statements of Operations and Comprehensive Income (Loss) as Expense recoveries from Manager.  There were no amounts paid by FIDAC related to these expenses for the quarter and six months ended June 30, 2012.
	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 quarter and six months ended June 30, 2013, fees paid to RCAP were $35 thousand and $69 thousand, respectively.  During the quarter and six months ended June 30, 2012, fees paid to RCAP were $29 thousand and $73 thousand, respectively.
	During the quarters ended June 30, 2013 and 2012, 29,300 shares and 31,600 shares of restricted stock issued by the Company to FIDAC’s employees vested, respectively.  During the six months ended June 30, 2013 and 2012, 58,600 shares and 63,200 shares of restricted stock issued by the Company to FIDAC’s employees vested, respectively.

Commitments_and_Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 2013
Commitments and Contingencies	'
	16.  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 as of June 30, 2013 or December 31, 2012.

Subsequent_Events

Subsequent Events	6 Months Ended
	Jun. 30, 2013
Subsequent Events	'
	17.  Subsequent Events
	The Board of Directors declared and paid common stock cash dividends of $0.09 per common share for the third and fourth quarters 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 paid 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.

Summary_of_the_Significant_Acc1

Summary of the Significant Accounting Policies (Policies)	6 Months Ended
	Jun. 30, 2013
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. These statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Annual Report on Form 10-K for the year ended December 31, 2012.  Certain prior year amounts have been reclassified to conform to 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.
	The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions.  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 VIEs’ 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 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.
	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.
	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 securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) and jumbo, prime, residential mortgage loans.  See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio.
	The Company is not obligated to provide, nor has it provided, any financial support to these consolidated securitization vehicles.
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 June 30, 2013 and December 31, 2012.
Agency and Non-Agency Residential Mortgage-Backed Securities	'
	(d) Agency and Non-Agency Residential Mortgage-Backed Securities
	The Company invests in RMBS representing interests in obligations backed by pools of mortgage loans.  The Company delineates between Agency RMBS and 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 (“IO”) strips, in Other comprehensive income (loss) in the Consolidated Statements of Operations and Comprehensive Income (Loss).  IO 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
	The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“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 and 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 IO Agency and Non-Agency RMBS strips.  IO RMBS strips 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 strips 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 strips to simplify the reporting of changes in fair value.  The IO RMBS strips are included in RMBS, at fair value, on the accompanying Consolidated Statements of Financial Condition.  Interest income on IO RMBS strips 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 RMBS strips was $6.9 million and $7.7 million for the quarters ended June 30, 2013, and 2012, respectively.  Interest income reported on IO securities was $10.2 million and $13.7 million for the six months ended June 30, 2013 and 2012, 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 associated debt using the interest method of amortization.  Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful.  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 generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain 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. 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, and borrowers that have declared bankruptcy. 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. Loans with specific reserves are individually evaluated for impairment. 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 has evaluated each agreement and determined that each of the repurchase agreements 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, collateralized by 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, collateralized by Non-Agency RMBS 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.  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, interest rate caps, options, and futures as a means of managing its interest rate risk as well as to enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value.  Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income (loss).  Unrealized gains (losses) on derivatives are removed from net income (loss) to arrive at cash flows from operating activities. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements.
	The Company elects to net by counterparty the fair value of its derivative contracts when appropriate.  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 cash 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 amortized cost 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.
	A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination.  The Company does not have any unrecognized tax benefits that would affect its financial position or require disclosure.  No accruals for penalties and interest were necessary as of June 30, 2013 or December 31, 2012.
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.
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 at the fair value of the stock-based compensation provided. 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. Stock 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.
	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 is 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 includes 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.   The Company adopted this guidance in the first quarter of 2013. As this standard only requires additional disclosure, the adoption of ASU 2011-11 did not have any effect on the consolidated financial statements.  The additional disclosures related to the Company’s repurchase agreements and derivatives are presented in Note 14.
	Comprehensive Income (Topic 220)
	In February 2013, the FASB issued ASU 2013-02 Comprehensive Income: Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income.  This update requires the disclosure 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. The Company adopted this guidance in the first quarter of 2013. As this standard only requires additional disclosure, the adoption of ASU 2013-02 did not have any effect on the consolidated financial statements.  The additional disclosures related to accumulated OCI are presented in Note 11.
	Broad Transactions
	Receivables—Troubled Debt Restructurings by Creditors (Subtopic 310-40)
	In January 2014, the FASB issued ASU No. 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans Upon Foreclosure.  This update clarifies when the Company is considered to have obtained physical possession, from an in-substance possession or foreclosure, of a residential real estate property collateralizing a mortgage loan.  Current guidance indicates that the Company should reclassify a collateralized mortgage loan such that the loan should be derecognized and the collateral asset recognized when it determines that there has been an in-substance repossession or foreclosure by the Company.  This update defines the term in substance repossession or foreclosure to reduce diversity in interpretation of when such an event occurs.  The guidance in this update is effective for the Company beginning January 1, 2015.  The Company is evaluating the impact of this update.

Residential_MortgageBacked_Sec1

Residential Mortgage-Backed Securities (Tables)	6 Months Ended
	Jun. 30, 2013
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 June 30, 2013 and December 31, 2012, by asset class.
	30-Jun-13
	(dollars in thousands)
			Principal or Notional				Total				Total			Amortized			Fair Value			Gross			Gross			Net
			Value				Premium				Discount			Cost						Unrealized			Unrealized			Unrealized
																				Gains			Losses			Gain/(Loss)
	Non-Agency RMBS
	Senior		$	125			$	-			$	(68	)	$	57		$	73		$	16		$	-		$	16
	Senior interest-only			5,156,156				287,600				-			287,600			264,723			14,200			(37,077	)		(22,877	)
	Subordinated			883,919				-				(511,100	)		372,819			470,586			99,999			(2,232	)		97,767
	Subordinated interest-only			255,176				14,605				-			14,605			14,047			392			(950	)		(558	)
	RMBS transferred to consolidated variable interest			4,259,153				8,252				(1,903,003	)		2,278,184			3,219,691			941,507			-			941,507
	entities ("VIEs")
	Agency RMBS			2,201,162				141,024				-			2,072,505			2,074,811			41,020			(38,714	)		2,306
	Total		$	12,755,691			$	451,481			$	(2,414,171	)	$	5,025,770		$	6,043,931		$	1,097,134		$	(78,973	)	$	1,018,161
	31-Dec-12
	(dollars in thousands)
			Principal or Notional				Total				Total			Amortized			Fair Value			Gross			Gross			Net
			Value				Premium				Discount			Cost						Unrealized			Unrealized			Unrealized
																				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			4,610,109				8,955				(2,088,125	)		2,437,048			3,274,204			837,353			(197	)		837,156
	entities ("VIEs")
	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
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 Quarter Ended								For the Six Months Ended
			30-Jun-13				30-Jun-12				30-Jun-13			30-Jun-12
			(dollars in thousands)								(dollars in thousands)
	Balance at beginning of period		$	2,014,789			$	2,300,876			$	2,107,387		$	2,342,462
	Purchases			-				-				-			86,847
	Accretion			(82,995	)			(92,332	)			(168,930	)		(187,440	)
	Reclassification (to) from non-accretable difference			18,297				26,247				11,665			14,585
	Sales			(28,404	)			-				(28,435	)		(21,663	)
	Balance at end of period		$	1,921,687			$	2,234,791			$	1,921,687		$	2,234,791
Schedule of Non-Agency RMBS Having Deteriorated Credit When Acquired	'
	The table below presents the outstanding principal balance and related amortized cost at June 30, 2013 and December 31, 2012 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.
			For the Quarter Ended				For the Year Ended
			30-Jun-13				31-Dec-12
			(dollars in thousands)
	Outstanding principal balance:
	Beginning of period		$	4,346,043			$	5,245,184
	End of period		$	4,148,066			$	4,508,475
	Amortized cost:
	Beginning of period		$	2,209,140			$	2,649,303
	End of period		$	2,127,146			$	2,268,751
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 June 30, 2013 and December 31, 2012.  All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d).
	30-Jun-13
	(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			Unrealized			Number of Securities
			Fair Value				Losses							Fair Value			Losses						Fair Value			Losses
	Non-Agency RMBS
	Senior		$	-			$	-				-		$	-		$	-			-		$	-		$	-			-
	Senior interest-only			132,065				(16,422	)			36			51,797			(20,655	)		20			183,862			(37,077	)		56
	Subordinated			-				-				2			17,604			(2,232	)		2			17,604			(2,232	)		4
	Subordinated interest-only			8,461				(950	)			1			-			-			-			8,461			(950	)		1
	RMBS transferred to consolidated			-				-				-			-			-			-			-			-			-
	VIEs
	Agency RMBS			834,510				(38,714	)			23			-			-			-			834,510			(38,714	)		23
	Total		$	975,036			$	(56,086	)			62		$	69,401		$	(22,887	)		22		$	1,044,437		$	(78,973	)		84
	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			Unrealized			Number of Securities
			Fair Value				Losses							Fair Value			Losses						Fair Value			Losses
	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			-				-				-			22,490			(197	)		1			22,490			(197	)		1
	VIEs
	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
Other than Temporary Impairment, Credit Losses Recognized in Earnings	'
	A summary of the OTTI included in earnings for the quarters and six months ended June 30, 2013 and 2012 is presented below.
			For the Quarter Ended
			30-Jun-13				30-Jun-12
			(dollars in thousands)
	Total other-than-temporary impairment losses		$	-			$	(12,474	)
	Portion of loss recognized in other comprehensive income (loss)			-				(53,213	)
	Net other-than-temporary credit impairment losses		$	-			$	(65,687	)
			For the Six Months Ended
			30-Jun-13				30-Jun-12
			(dollars in thousands)
	Total other-than-temporary impairment losses		$	-			$	(44,551	)
	Portion of loss recognized in other comprehensive income (loss)			(6,163	)			(69,500	)
	Net other-than-temporary credit impairment losses		$	(6,163	)		$	(114,051	)
	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 Quarter Ended
			30-Jun-13				30-Jun-12
			(dollars in thousands)
	Cumulative credit loss beginning balance		$	513,946			$	493,900
	Additions:
	Other-than-temporary impairments not previously recognized			-				58,101
	Reductions for securities sold during the period			(10,760	)			-
	Increases related to other-than-temporary impairments on securities with previously recognized other-than-			-				7,586
	temporary impairments
	Reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security			(4,934	)			(18,928	)
	Cumulative credit loss ending balance		$	498,252			$	540,659
	For the Six Months Ended
			30-Jun-13				30-Jun-12
			(dollars in thousands)
	Cumulative credit loss beginning balance		$	510,089			$	452,060
	Additions:
	Other-than-temporary impairments not previously recognized			712				89,928
	Reductions for securities sold during the period			(11,119	)			(290	)
	Increases related to other-than-temporary impairments on securities with previously recognized other-than-			5,451				24,123
	temporary impairments
	Reductions for increases in cash flows expected to be collected over the remaining life of the securities			(6,881	)			(25,162	)
	Cumulative credit impairment loss ending balance		$	498,252			$	540,659
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 Six Months Ended
				30-Jun-13	30-Jun-12
	Loss Severity
		Weighted Average		45%	58%
		Range		41% - 69%	45% - 86%
	60+ days delinquent
		Weighted Average		16%	28%
		Range		0% - 34%	9% - 53%
	Credit Enhancement (1)
		Weighted Average		10%	10%
		Range		0% - 48%	0% - 75%
	3 Month CPR
		Weighted Average		18%	16%
		Range		0% - 25%	3% - 30%
	12 Month CPR
		Weighted Average		20%	16%
		Range		9% - 35%	8% - 25%
	(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 June 30, 2013 and December 31, 2012.  IO 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 June 30, 2013, IO RMBS had a net unrealized loss of $18.8 million and had an amortized cost of $356.8 million. At December 31, 2012, IO RMBS had a net unrealized loss of $4.8 million and had an amortized cost of $166.0 million.  The fair value of IOs at June 30, 2013 and December 31, 2012 was $338.0 million, and $161.2 million, respectively. All changes in fair value of IOs are reflected in Net income (loss).
	30-Jun-13
	(dollars in thousands)
			Gross Unrealized				Gross Unrealized				Total Gross			Gross Unrealized			Gross Unrealized			Total Gross
			Gain Included in Accumulated Other Comprehensive				Gain Included in Accumulated Deficit				Unrealized Gain			Loss Included in Accumulated Other Comprehensive			Loss Included in Accumulated Deficit			Unrealized Loss
			Income											Income
	Non-Agency RMBS
	Senior		$	16			$	-			$	16		$	-		$	-		$	-
	Senior interest-only			-				14,200				14,200			-			(37,077	)		(37,077	)
	Subordinated			99,999				-				99,999			(2,232	)		-			(2,232	)
	Subordinated interest-only			1				391				392			-			(950	)		(950	)
	RMBS transferred to consolidated VIEs			936,259				5,248				941,507			-			-			-
	Agency RMBS			40,583				437				41,020			(37,638	)		(1,076	)		(38,714	)
	Total		$	1,076,858			$	20,276			$	1,097,134		$	(39,870	)	$	(39,103	)	$	(78,973	)
	31-Dec-12
	(dollars in thousands)
			Gross Unrealized				Gross Unrealized				Total Gross			Gross Unrealized			Gross Unrealized			Total Gross
			Gain Included in Accumulated Other Comprehensive				Gain Included in Accumulated Deficit				Unrealized Gain			Loss Included in Accumulated Other Comprehensive			Loss Included in Accumulated Deficit			Unrealized Loss
			Income											Income
	Non-Agency RMBS
	Senior		$	16			$	-			$	16		$	-		$	-		$	-
	Senior interest-only			-				7,976				7,976			-			(20,975	)		(20,975	)
	Subordinated			81,492				-				81,492			(6,747	)		-			(6,747	)
	Subordinated interest-only			-				1,466				1,466			-			(1,393	)		(1,393	)
	RMBS transferred to consolidated VIEs			829,308				8,045				837,353			(197	)		-			(197	)
	Agency RMBS			86,062				357				86,419			-			(317	)		(317	)
	Total		$	996,878			$	17,844			$	1,014,722		$	(6,944	)	$	(22,685	)	$	(29,629	)
Residential Mortgage-Backed Securities, Collateral Characteristics	'
	The following tables provide a summary of the Company’s RMBS portfolio at June 30, 2013 and December 31, 2012.
			30-Jun-13																	31-Dec-12
			Principal or Notional				Weighted Average Amortized				Weighted Average			Weighted Average Coupon			Weighted			Principal or Notional			Weighted Average Amortized			Weighted Average			Weighted Average Coupon			Weighted Average Yield at
			Value at				Cost Basis				Fair Value						Average Yield			Value at Period-End			Cost Basis			Fair Value						Period-End
			Period-End														at			(dollars in thousands)												-1
			(dollars in thousands)														Period-End
																	-1
	Non-Agency Mortgage-Backed Securities
	Senior		$	125			$	45.92			$	58.75			0	%		11.5	%	$	126		$	57.02		$	67			0	%		11.9	%
	Senior, interest only		$	5,156,156			$	5.58			$	5.13			2.04	%		16.51	%	$	3,012,868		$	4.51		$	4.08			1.76	%		10.36	%
	Subordinated		$	883,919			$	42.18			$	53.24			3.07	%		12.4	%	$	1,057,821		$	44.72		$	51.79			3.18	%		11.07	%
	Subordinated, interest only		$	255,176			$	5.72			$	5.51			1.93	%		8.23	%	$	256,072		$	6.32		$	6.35			2.25	%		8.9	%
	RMBS transferred to consolidated		$	4,259,153			$	54.59			$	77.16			4.76	%		15.66	%	$	4,610,109		$	53.96		$	72.5			4.88	%		15.44	%
	variable interest entities
	Agency Mortgage-Backed Securities		$	2,201,162			$	107.3			$	107.42			4.22	%		3.13	%	$	1,756,580		$	103.09		$	108.24			4.65	%		3.59	%
	(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 June 30, 2013 and December 31, 2012.
			30-Jun-13	31-Dec-12
	AAA		0.01%	0.01%
	AA		0.30%	0.46%
	BB		1.69%	1.41%
	B		1.19%	1.19%
	Below B or not rated		96.81%	96.93%
	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 June 30, 2013 and December 31, 2012 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.
	30-Jun-13
	(dollars in thousands)
			Weighted Average Life
			Less than one year				Greater than one				Greater than five			Greater than			Total
							year and less than				years and less			ten years
							five years				than ten years
	Fair value
	Non-Agency RMBS
	Senior		$	-			$	-			$	73		$	-		$	73
	Senior interest-only			98				68,987				162,075			33,563			264,723
	Subordinated			5,372				70,843				284,701			109,670			470,586
	Subordinated interest-only			-				-				12,433			1,614			14,047
	RMBS transferred to consolidated VIEs			4,853				375,596				2,024,480			814,762			3,219,691
	Agency RMBS			72				201,424				1,846,046			27,269			2,074,811
	Total fair value		$	10,395			$	716,850			$	4,329,808		$	986,878		$	6,043,931
	Amortized cost
	Non-Agency RMBS
	Senior		$	-			$	-			$	57		$	-		$	57
	Senior interest-only			1,199				73,835				177,129			35,437			287,600
	Subordinated			4,162				61,837				226,134			80,686			372,819
	Subordinated interest-only			-				-				13,211			1,394			14,605
	RMBS transferred to consolidated VIEs			4,553				296,190				1,392,243			585,198			2,278,184
	Agency RMBS			83				192,177				1,853,168			27,077			2,072,505
	Total amortized cost		$	9,997			$	624,039			$	3,661,942		$	729,792		$	5,025,770
	31-Dec-12
	(dollars in thousands)
			Weighted Average Life
			Less than one year				Greater than one				Greater than five			Greater than			Total
							year and less than				years and less			ten 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
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 June 30, 2013 and December 31, 2012.
		30-Jun-13					31-Dec-12
	Weighted average maturity (years)				25.01					24.8
	Weighted average amortized loan to value (1)				70.6	%				71.6	%
	Weighted average FICO (2)				713					717
	Weighted average loan balance (in thousands)			$	415				$	453.1
	Weighted average percentage owner occupied				84.7	%				85.1	%
	Weighted average percentage single family residence				65.7	%				65.5	%
	Weighted average current credit enhancement				1.9	%				3.1	%
	Weighted average geographic concentration of top five states	CA			35.6	%	CA			36.7	%
		FL			9.2	%	FL			8.7	%
		NY			6.5	%	NY			6.4	%
		NJ			2.7	%	VA			2.4	%
		MD			2.4	%	NJ			2.8	%
	(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 June 30, 2013 and December 31, 2012.
	Origination Year		30-Jun-13				31-Dec-12
	2000			0.8	%			0.2	%
	2001			1.3	%			0.2	%
	2002			0.7	%			0	%
	2003			0.9	%			0.4	%
	2004			1.9	%			0.6	%
	2005			17.2	%			14.3	%
	2006			33.3	%			34.6	%
	2007			42.1	%			46.7	%
	2008			1.8	%			3	%
	Total			100	%			100	%

Securitized_Loans_Held_for_Inv1

Securitized Loans Held for Investment (Tables)	6 Months Ended
	Jun. 30, 2013
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 June 30, 2013 and December 31, 2012:
			For the Six Months Ended				For the Year Ended
			30-Jun-13				31-Dec-12
			(dollars in thousands)
	Balance, beginning of period		$	1,300,131			$	256,632
	Purchases			-				1,531,014
	Principal paydowns			(367,765	)			(477,555	)
	Net periodic amortization (accretion)			(9,079	)			(9,592	)
	Change to loan loss provision			1,279				(368	)
	Balance, end of period		$	924,566			$	1,300,131
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 June 30, 2013 and December 31, 2012:
			30-Jun-13				31-Dec-12
		(dollars in thousands)
	Securitized loans, at amortized cost		$	934,152			$	1,311,755
	Less: allowance for loan losses			9,586				11,624
	Securitized loans held for investment		$	924,566			$	1,300,131
Schedule of Securitized Loans Held for Investment Key Characteristics of Underlying Collateral	'
	A summary of key characteristics of these loans follows.
		30-Jun-13						31-Dec-12
	Number of loans				1,207						1,618
	Weighted average maturity (years)				28						28.3
	Weighted average loan to value (1)				71	%					71.2	%
	Weighted average FICO (2)				766						768
	Weighted average loan balance (in thousands)			$	784.8					$	794.1
	Weighted average percentage owner occupied				93.9	%					94.6	%
	Weighted average percentage single family residence				69.6	%					70.6	%
	Weighted average geographic concentration of top five states	CA			34.9	%		CA			38.1	%
		NY			6.7	%		VA			6.3	%
		VA			5.4	%		NY			6.3	%
		NJ			5	%		WA			5.2	%
		WA			4.9	%		NJ			4.6	%
	(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 at June 30, 2013 and December 31, 2012:
			For the Six Months Ended				For the Year Ended
			30-Jun-13				31-Dec-12
			(dollars in thousands)
	Balance, beginning of period		$	11,624			$	13,938
	Provision for loan losses			(1,279	)			368
	Charge-offs			(759	)			(2,682	)
	Balance, end of period		$	9,586			$	11,624
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 June 30, 2013 and December 31, 2012.
			30 Days				60 Days				90+ Days		Bankruptcy		Foreclosure		REO		Total
			Delinquent				Delinquent				Delinquent
	(dollars in thousands)
	30-Jun-13		$	3,972			$	0			$	2,919	$	0	$	5,200	$	0	$	12,091
	31-Dec-12		$	3,110			$	1,186			$	4,045	$	0	$	4,247	$	1,390	$	13,978
Schedule of Loans Modified	'
	The following table presents the loans that were modified by the servicer during the six months ended June 30, 2013 and 2012.
			Number of Loans				Unpaid Principal				Unpaid Principal		Amortized Cost of Modified Loans		Amortized Cost of		Amortized Cost of
			Modified During				Balance of Modified				Balance of Modified Loans (Post-modification)				Modified Loans For		Modified Loans For
			Period				Loans (Pre-								Which There is		Which There is
							modification)								an Allowance for		No Allowance for
															Loan Losses		Loan Losses
	(dollars in thousands)
	Six Months Ended
	30-Jun-13			3			$	2,349			$	2,358	$	2,248	$	2,248	$	0
	30-Jun-12			6			$	3,424			$	3,536	$	3,518	$	3,518	$	0

Fair_Value_Measurements_Tables

Fair Value Measurements (Tables)	6 Months Ended
	Jun. 30, 2013
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 June 30, 2013 and December 31, 2012 is presented below.
	30-Jun-13
	(dollars in thousands)
		Level 1				Level 2				Level 3
	Assets:
	Non-Agency RMBS
	Senior	$	-			$	-			$	73
	Senior interest-only		-				-				264,723
	Subordinated		-				-				470,586
	Subordinated interest-only		-				-				14,047
	RMBS transferred to consolidated VIEs		-				-				3,219,691
	Agency RMBS		-				2,074,811				-
	Interest rate swaps		-				-				-
	Liabilities:
	Interest rate swaps		-				35,359				-
	Total	$	-			$	2,110,170			$	3,969,120
	31-Dec-12
	(dollars in thousands)
		Level 1				Level 2				Level 3
	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 RMBS		-				1,806,697				-
	Liabilities:
	Interest rate swaps		-				53,939				-
	Total	$	-			$	1,860,636			$	3,961,208
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 at June 30, 2013 and December 31, 2012.
	Fair Value Reconciliation, Level 3
		For the Six Months Ended				For the Year Ended
		30-Jun-13				31-Dec-12
		(dollars in thousands)
	Non-Agency RMBS
	Beginning balance Level 3 assets	$	3,961,208			$	4,088,945
	Transfers in to Level 3 assets		-				-
	Transfers out of Level 3 assets		-				-
	Purchases		174,661				122,509
	Principal payments		(234,236	)			(516,370	)
	Sales		(143,864	)			(328,261	)
	Accretion of purchase discounts		59,435				98,804
	Gains (losses) included in net income
	Other than temporary credit impairment losses		(6,163	)			(132,250	)
	Realized gains (losses) on sales		41,258				48,435
	Net unrealized gains (losses) on interest-only		(13,309	)			804
	RMBS
	Gains (losses) included in other comprehensive
	income
	Total unrealized gains (losses) for the period		130,130				578,592
	Ending balance Level 3 assets	$	3,969,120			$	3,961,208
Fair Value Measurements, Significant Unobservable Inputs	'
	A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS as of June 30, 2013 and December 31, 2012 follows:
		30-Jun-13														31-Dec-12
		Significant Inputs														Significant Inputs
		Weighted Average				CPR				CDR			Loss			Weighted Average			CPR			CDR			Loss
		Discount Rate											Severity			Discount Rate									Severity
		Range														Range
	Non-Agency RMBS
	Senior		7	%			6% - 6	%			0% - 0	%		50% - 50	%		7.5	%		11% - 11	%		0% - 3	%		50% - 58	%
	Senior interest-only		11.6	%			1% - 28	%			0% - 22	%		50% - 85	%		13.9	%		1% - 25	%		0% - 25	%		50% - 85	%
	Subordinated		27.8	%			1% - 20	%			0% - 22	%		50% - 85	%		25.9	%		1% - 18	%		0% - 21	%		50% - 85	%
	Subordinated interest-only		15.9	%			4% - 13	%			0% - 20	%		50% - 64	%		13.3	%		4% - 11	%		0% - 21	%		50% - 68	%
	RMBS transferred to consolidated		5.2	%			1% - 20	%			0% - 32	%		50% - 85	%		5.8	%		1% - 15	%		0% - 36	%		50% - 85	%
	VIEs
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 not carried at fair value on a recurring basis at June 30, 2013 and December 31, 2012.
		30-Jun-13
		(dollars in thousands)
		Level in Fair Value			Carrying				Fair Value
		Hierarchy			Amount
	Securitized loans held for investment	3				924,566				908,018
	Repurchase agreements	2				(1,478,141	)			(1,480,522	)
	Securitized debt, collateralized by Non-Agency RMBS	3				(1,128,752	)			(1,143,819	)
	Securitized debt, collateralized by loans held for investment	3				(805,229	)			(797,602	)
		31-Dec-12
		(dollars in thousands)
		Level in Fair Value			Carrying				Fair Value
		Hierarchy			Amount
	Securitized loans held for investment	3				1,300,131				1,320,696
	Repurchase agreements	2				(1,528,025	)			(1,531,511	)
	Securitized debt, collateralized by Non-Agency RMBS	3				(1,336,261	)			(1,334,551	)
	Securitized debt, collateralized by loans held for investment	3				(1,169,710	)			(1,194,747	)

Repurchase_Agreements_Tables

Repurchase Agreements (Tables)	6 Months Ended
	Jun. 30, 2013
Schedule of Repurchase Agreements	'
	At June 30, 2013 and December 31, 2012, the repurchase agreements collateralized by Agency RMBS had the following remaining maturities.
		30-Jun-13		31-Dec-12
		(dollars in thousands)
	Overnight	$	6,655	$	-
	1-29 days		771,163		732,809
	30 to 59 days		514,872		325,915
	60 to 89 days		-		-
	90 to 119 days		-		211,137
	Greater than or equal to 120 days		185,451		258,164
	Total	$	1,478,141	$	1,528,025

Securitized_Debt_Tables

Securitized Debt (Tables)	6 Months Ended
	Jun. 30, 2013
Schedule of Maturities of Long-term Debt	'
	The following table presents the estimated principal repayment schedule of the securitized debt at June 30, 2013 and December 31, 2012, 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.
		30-Jun-13		31-Dec-12
		(dollars in thousands)
	Within One Year	$	511,814	$	658,423
	One to Three Years		640,811		793,150
	Three to Five Years		327,256		430,993
	Greater Than or Equal to Five Years		380,786		555,717
	Total	$	1,860,667	$	2,438,283

Consolidated_Securitization_Ve1

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	6 Months Ended
	Jun. 30, 2013
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 June 30, 2013 and December 31, 2012.
		30-Jun-13			31-Dec-12
		(dollars in thousands)
	Assets
	Non-Agency RMBS transferred to consolidated VIEs	$	3,219,691		$	3,274,204
	Securitized loans held for investment		924,566			1,300,131
	Accrued interest receivable		20,136			24,082
	Liabilities
	Securitized debt, collateralized by Non-Agency RMBS	$	1,128,752		$	1,336,261
	Securitized debt, collateralized by loans held for investment		805,229			1,169,710
	Accrued interest payable		6,494			8,358
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 Quarter Ended
		30-Jun-13			30-Jun-12
		(dollars in thousands)
	Interest income, Assets of consolidated VIEs	$	93,936		$	109,493
	Interest expense, Non-recourse liabilities of VIEs		(24,982	)		(19,480	)
	Net interest income	$	68,954		$	90,013
	Total other-than-temporary impairment losses		-		$	(3,883	)
	Portion of loss recognized in other comprehensive income (loss)		-			(48,081	)
	Net other-than-temporary credit impairment losses	$	-		$	(51,964	)
		For the Six Months Ended
		30-Jun-13			30-Jun-12
		(dollars in thousands)
	Interest income, Assets of consolidated VIEs	$	190,664		$	207,842
	Interest expense, Non-recourse liabilities of VIEs		(51,978	)		(53,529	)
	Net interest income	$	138,686		$	154,313
	Total other-than-temporary impairment losses		-		$	(7,269	)
	Portion of loss recognized in other comprehensive income (loss)		(135	)		(73,132	)
	Net other-than-temporary credit impairment losses	$	(135	)	$	(80,401	)
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 Quarter Ended
		30-Jun-13			30-Jun-12
		(dollars in thousands)
	(Accretion) amortization of investment discounts/premiums, net		(32,827	)		(32,533	)
	Amortization of deferred financing costs		1,736			2,044
	Accretion (amortization) of securitized debt discounts/premiums, net		2,940			(8,986	)
	Payment of deferred financing costs		-			(3,704	)
	Proceeds from securitized debt borrowings, collateralized by loans held for investment		-			405,413
	Principal payments, Non-Agency RMBS transferred to consolidated VIE's		125,397			131,142
	Principal payments, Securitized loans held for investment		156,326			93,087
	Payments on securitized debt borrowings, collateralized by loans held for investment		(154,021	)		(90,765	)
	Payments on securitized debt borrowings, collateralized by Non-Agency RMBS		(115,837	)		(128,049	)
	Decrease (increase) in accrued interest receivable		2,142			1,557
	Increase (decrease) in accrued interest payable		(890	)		163
	Net cash provided by/(used in) consolidated VIEs	$	(15,034	)	$	369,369
		For the Six Months Ended
		30-Jun-13			30-Jun-12
		(dollars in thousands)
	(Accretion) amortization of investment discounts/premiums, net		(63,149	)		(64,663	)
	Amortization of deferred financing costs		3,850		$	5,265
	Accretion (amortization) of securitized debt discounts/premiums, net		4,753			(883	)
	Payment of deferred financing costs		-			(8,073	)
	Proceeds from securitized debt borrowings, collateralized by loans held for investment		-			1,101,526
	Principal payments, Non-Agency RMBS transferred to consolidated VIE's		230,947			263,772
	Principal payments, Securitized loans held for investment		367,765			114,148
	Payments on securitized debt borrowings, collateralized by loans held for investment		(363,451	)		(110,495	)
	Payments on securitized debt borrowings, collateralized by Non-Agency RMBS		(213,292	)		(257,938	)
	Decrease (increase) in accrued interest receivable		3,946			(474	)
	Increase (decrease) in accrued interest payable		(1,864	)		1,427
	Net cash provided by/(used in) consolidated VIEs	$	(30,495	)	$	1,043,612
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.
		30-Jun-13						31-Dec-12
		Amortized Cost			Fair Value			Amortized Cost		Fair Value
		(dollars in thousands)
	Assets
	Non-Agency RMBS
	Senior	$	57		$	73		$	72	$	85
	Senior interest-only		-			78			-		128
	Subordinated		176			2,125			581		2,266
	Agency RMBS		813			584			1,198		1,001
	Total	$	1,046		$	2,860		$	1,851	$	3,480

Interest_Rate_Swaps_Tables

Interest Rate Swaps (Tables)	6 Months Ended
	Jun. 30, 2013
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 June 30, 2013 and December 31, 2012.
		Location on Consolidated Statements of		Notional Amount				Net Estimated Fair				Net Estimated Fair Value
		Financial Condition						Value/Carrying Value				of Agency RMBS
												Pledged as Collateral
		(dollars in thousands)
	30-Jun-13	Liabilities		$	1,355,000			$	(35,359	)		$	37,719
	31-Dec-12	Liabilities		$	1,355,000			$	(53,939	)		$	60,382
	The effect of the Company’s interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss) is presented below.
		Location on Consolidated Statements of Operations and
		Comprehensive Income (Loss)
		Net Unrealized Gains (Losses) on				Net Realized Gains (Losses)
		Interest Rate Swaps				on Interest Rate Swaps
		(dollars in thousands)
	For the Quarter Ended:
	30-Jun-13	$	13,178			$	(5,391	)
	30-Jun-12	$	(10,992	)		$	(5,194	)
	For the Six Months Ended:
	30-Jun-13	$	18,580			$	(10,921	)
	30-Jun-12	$	(10,180	)		$	(9,592	)
	The weighted average pay rate on the Company’s interest rate swaps at June 30, 2013 was 1.81% and the weighted average receive rate was 0.19%.  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 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 June 30, 2013 and December 31, 2012.
		30-Jun-13
		(dollars in thousands)
		Interest Rate Swaps - Asset								Interest Rate Swaps - Liability
		Notional				Unrealized Gains				Notional				Unrealized Losses
	Gross Amounts	$	-			$	-			$	1,355,000			$	35,359
	Amounts Offset		-				-				-				-
	Netted Amounts	$	-			$	-			$	1,355,000			$	35,359
		31-Dec-12
		(dollars in thousands)
		Interest Rate Swaps - Asset								Interest Rate Swaps - Liability
		Notional				Unrealized Gains				Notional				Unrealized Losses
	Gross Amounts	$	-			$	-			$	1,355,000			$	53,939
	Amounts Offset		-				-				-				-
	Netted Amounts	$	-			$	-			$	1,355,000			$	53,939

Common_Stock_Tables

Common Stock (Tables)	6 Months Ended
	Jun. 30, 2013
Schedule of Earnings Per Share	'
	Earnings per share for the quarters and six months ended June 30, 2013 and 2012, respectively, are computed as follows:
		For the Quarter Ended
		30-Jun-13		30-Jun-12
		(dollars in thousands)
	Numerator:
	Net income	$	143,207	$	40,781
	Effect of dilutive securities:		-		-
	Dilutive net income  available to stockholders	$	143,207	$	40,781
	Denominator:
	Weighted average basic shares		1,027,066,041		1,026,809,700
	Effect of dilutive securities		527,400		695,547
	Weighted average diluted shares		1,027,593,441		1,027,505,247
	Net income  per average share attributable to common stockholders - Basic	$	0.14	$	0.04
	Net income  per average share attributable to common stockholders - Diluted	$	0.14	$	0.04
		For the Six Months Ended
		30-Jun-13		30-Jun-12
		(dollars in thousands)
	Numerator:
	Net income	$	223,008	$	121,014
	Effect of dilutive securities:		-		-
	Dilutive net income  available to stockholders	$	223,008	$	121,014
	Denominator:
	Weighted average basic shares		1,027,052,341		1,026,785,896
	Effect of dilutive securities		542,131		711,521
	Weighted average dilutive shares		1,027,594,472		1,027,497,417
	Net income  per average share attributable to common stockholders - Basic	$	0.22	$	0.12
	Net income  per average share attributable to common stockholders - Diluted	$	0.22	$	0.12

Accumulated_Other_Comprehensiv1

Accumulated Other Comprehensive Income (Tables)	6 Months Ended
	Jun. 30, 2013
Schedule of Components of AOCI	'
	The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the six months ended June 30, 2013:
		30-Jun-13
		(dollars in thousands)
		Unrealized gains				Total Accumulated
		(losses) on available-				OCI Balance
		for-sale securities, net
	Balance as of December 31, 2012	$	989,936			$	989,936
	OCI before reclassifications		95,012				95,012
	Amounts reclassified from AOCI		(47,960	)			(47,960	)
	Net current period OCI		47,052				47,052
	Balance as of June 30, 2013	$	1,036,988			$	1,036,988
Schedule of Reclassifications from AOCI	'
	The following table presents the details of the reclassifications from AOCI for the six months ended June 30, 2013:
		30-Jun-13
		(dollars in thousands)
	Details about Accumulated OCI Components	Amounts Reclassified			Affected Line on the Consolidated
		from Accumulated			Statements Of Operations And
		OCI			Comprehensive Income (Loss)
	Unrealized gains and losses on available-for-sale securities
		$	54,123		Net realized gains (losses) on sales of investments
			(6,163	)	Net other-than-temporary credit impairment losses
		$	47,960		Income (loss) before income taxes
			-		Income taxes
		$	47,960		Net of tax

Long_Term_Incentive_Plan_Table

Long Term Incentive Plan (Tables)	6 Months Ended
	Jun. 30, 2013
FIDAC Employees, Restricted Stock Awards Activity	'
	The following table presents information with respect to the Company’s restricted stock awards during the quarters and six months ended June 30, 2013 and 2012:
		30-Jun-13					30-Jun-12
		Number of Shares			Weighted		Number of Shares			Weighted Average
					Average Grant					Grant Date Fair
					Date Fair Value					Value
	Unvested shares outstanding - beginning of period		556,700			17.72		726,800			17.72
	Granted		-			-		-			-
	Vested		(27,248	)		17.72		(31,398	)		17.72
	Forfeited		(2,052	)		17.72		(202	)		17.72
	Unvested shares outstanding - end of period		527,400			17.72		695,200			17.72
		30-Jun-13					30-Jun-12
		Number of Shares			Weighted		Number of Shares			Weighted Average
					Average Grant					Grant Date Fair
					Date Fair Value					Value
	Unvested shares outstanding - beginning of period		586,000			17.72		758,400			17.72
	Granted		-			-		-			-
	Vested		(54,583	)		17.72		(62,819	)		17.72
	Forfeited		(4,017	)		17.72		(381	)		17.72
	Unvested shares outstanding - end of period		527,400			17.72		695,200			17.72

Credit_Risk_and_Interest_Rate_1

Credit Risk and Interest Rate Risk (Tables)	6 Months Ended
	Jun. 30, 2013
Schedule of Liabilities Subject to Netting Arrangements	'
	The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of June 30, 2013 and December 31, 2012.  The Company has no financial instruments subject to master netting arrangements, or similar arrangements, in an asset position on a gross basis.
		30-Jun-13
		(dollars in thousands)
										Gross Amounts Not Offset with Financial
										Assets (Liabilities) in the Consolidated
										Statements of Financial Position
		Gross Amounts of			Gross Amounts Offset		Net Amounts Offset in			Financial Instruments		Cash Collateral		Net Amount
		Recognized Assets			in the Consolidated		the Consolidated					(Received) Pledged
		(Liabilities)			Statements of Financial		Statements of Financial
					Position		Position
	Repurchase agreements	$	(1,478,141	)	$	-	$	(1,478,141	)	$	1,553,077	$	-	$	74,936
	Derivatives	$	(35,359	)		-		(35,359	)	$	37,719		-		2,360
	Total Liabilities	$	(1,513,500	)	$	-	$	(1,513,500	)	$	1,590,796	$	-	$	77,296
		31-Dec-12
		(dollars in thousands)
										Gross Amounts Not Offset with Financial
										Assets (Liabilities) in the Consolidated
										Statements of Financial Position
		Gross Amounts of			Gross Amounts Offset		Net Amounts Offset in			Financial Instruments		Cash Collateral		Net Amount
		Recognized Assets			in the Consolidated		the Consolidated					(Received) Pledged
		(Liabilities)			Statements of Financial		Statements of Financial
					Position		Position
	Repurchase agreements	$	(1,528,025	)	$	-	$	(1,528,025	)	$	1,604,560	$	-	$	76,535
	Derivatives	$	(53,939	)		-		(53,939	)	$	60,382		-		6,443
	Total Liabilities	$	(1,581,964	)	$	-	$	(1,581,964	)	$	1,664,942	$	-	$	82,978

Organization_Narrative_Detail

Organization - Narrative (Detail)	6 Months Ended
	Jun. 30, 2013
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		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Summary Of Significant Accounting Policies [Line Items]	'	'	'	'
Interest income	$33,629	$52,031	$62,696	$103,350
Residential Mortgage-Backed Securities [Member] | Interest-Only RMBS [Member]	'	'	'	'
Summary Of Significant Accounting Policies [Line Items]	'	'	'	'
Interest income	$6,900	$7,700	$10,200	$13,700

Residential_MortgageBacked_Sec2

Residential Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) (USD $)	Jun. 30, 2013	Dec. 31, 2012
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]	'	'
Investment Holdings [Line Items]	'	'
Non-Agency RMBS transferred to consolidated VIEs	$3,219,691,000	$3,274,204,000	[1]
Non-Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross unrealized loss	2,200,000	6,900,000
Non-Agency RMBS [Member] | Interest-Only RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Interest-only RMBS, net unrealized loss	18,800,000	4,800,000
Amortized cost	356,800,000	166,000,000
Fair value	338,000,000	161,200,000
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality [Member]	'	'
Investment Holdings [Line Items]	'	'
Percentage in Alt-A collateral	99.20%	99.50%
Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross unrealized loss	$38,700,000	$317,000
[1]	Derived from the audited consolidated financial statements.

Residential_MortgageBacked_Sec3

Residential Mortgage-Backed Securities - Summary (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Investment Holdings [Line Items]	'	'
Principal or Notional Value	$12,755,691	$10,693,576
Total Premium	451,481	212,505
Total Discount	-2,414,171	-2,672,951
Amortized cost	5,025,770	4,782,812
Fair Value	6,043,931	5,767,905
Gross Unrealized Gains	1,097,134	1,014,722
Gross Unrealized Losses	-78,973	-29,629
Net Unrealized Gain/(Loss)	1,018,161	985,093
Non-Agency RMBS - Senior [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	125	126
Total Discount	-68	-54
Amortized cost	57	72
Fair Value	73	88
Gross Unrealized Gains	16	16
Net Unrealized Gain/(Loss)	16	16
Non-Agency RMBS - Senior interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	5,156,156	3,012,868
Total Premium	287,600	135,868
Amortized cost	287,600	135,868
Fair Value	264,723	122,869
Gross Unrealized Gains	14,200	7,976
Gross Unrealized Losses	-37,077	-20,975
Net Unrealized Gain/(Loss)	-22,877	-12,999
Non-Agency RMBS - Subordinated [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	883,919	1,057,821
Total Discount	-511,100	-584,772
Amortized cost	372,819	473,049
Fair Value	470,586	547,794
Gross Unrealized Gains	99,999	81,492
Gross Unrealized Losses	-2,232	-6,747
Net Unrealized Gain/(Loss)	97,767	74,745
Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	255,176	256,072
Total Premium	14,605	16,180
Amortized cost	14,605	16,180
Fair Value	14,047	16,253
Gross Unrealized Gains	392	1,466
Gross Unrealized Losses	-950	-1,393
Net Unrealized Gain/(Loss)	-558	73
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	4,259,153	4,610,109
Total Premium	8,252	8,955
Total Discount	-1,903,003	-2,088,125
Amortized cost	2,278,184	2,437,048
Fair Value	3,219,691	3,274,204
Gross Unrealized Gains	941,507	837,353
Gross Unrealized Losses	'	-197
Net Unrealized Gain/(Loss)	941,507	837,156
Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Principal or Notional Value	2,201,162	1,756,580
Total Premium	141,024	51,502
Amortized cost	2,072,505	1,720,595
Fair Value	2,074,811	1,806,697
Gross Unrealized Gains	41,020	86,419
Gross Unrealized Losses	-38,714	-317
Net Unrealized Gain/(Loss)	$2,306	$86,102

Residential_MortgageBacked_Sec4

Residential Mortgage-Backed Securities - Accretable Yield (Detail) (Non-Agency RMBS Having Deteriorated Credit When Acquired [Member], USD $)	3 Months Ended		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Non-Agency RMBS Having Deteriorated Credit When Acquired [Member]	'	'	'	'
Investment Holdings [Line Items]	'	'	'	'
Balance at beginning of period	$2,014,789	$2,300,876	$2,107,387	$2,342,462
Purchases	'	'	'	86,847
Accretion	-82,995	-92,332	-168,930	-187,440
Reclassification (to) from non-accretable difference	18,297	26,247	11,665	14,585
Sales	-28,404	'	-28,435	-21,663
Balance at end of period	$1,921,687	$2,234,791	$1,921,687	$2,234,791

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 $)	Jun. 30, 2013	Mar. 31, 2013	Dec. 31, 2011
In Thousands, unless otherwise specified
Non-Agency RMBS Having Deteriorated Credit When Acquired [Member]	'	'	'
Investment Holdings [Line Items]	'	'	'
Loans acquired having deteriorated credit, outstanding principal	$4,148,066	$4,346,043	$5,245,184
Loans acquired having deteriorated credit, carrying value	$2,127,146	$2,209,140	$2,649,303

Residential_MortgageBacked_Sec6

Residential Mortgage-Backed Securities - Unrealized Loss Positions (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Jun. 30, 2013	Dec. 31, 2012
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	$975,036	$17,998
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	-56,086	-2,904
Number of Securities of RMBS in continuous loss position for less than 12 months	62	14
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	69,401	140,836
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-22,887	-26,725
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	22	35
Estimated fair value of RMBS in continuous loss position	1,044,437	158,834
Unrealized losses on RMBS in continuous loss position	-78,973	-29,629
Number of Securities in continuous loss position	84	49
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	132,065	17,764
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	-16,422	-2,828
Number of Securities of RMBS in continuous loss position for less than 12 months	36	12
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	51,797	52,920
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-20,655	-18,147
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	20	26
Estimated fair value of RMBS in continuous loss position	183,862	70,684
Unrealized losses on RMBS in continuous loss position	-37,077	-20,975
Number of Securities in continuous loss position	56	38
Non-Agency RMBS - Subordinated [Member]	'	'
Investment Holdings [Line Items]	'	'
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	17,604	54,774
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	-2,232	-6,747
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months	2	5
Estimated fair value of RMBS in continuous loss position	17,604	54,774
Unrealized losses on RMBS in continuous loss position	-2,232	-6,747
Number of Securities in continuous loss position	4	5
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	8,461	'
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	-950	'
Number of Securities of RMBS in continuous loss position for less than 12 months	1	'
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	8,461	9,659
Unrealized losses on RMBS in continuous loss position	-950	-1,393
Number of Securities in continuous loss position	1	1
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
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	'	-197
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	'	22,490
Unrealized losses on RMBS in continuous loss position	'	-197
Number of Securities in continuous loss position	'	1
Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	834,510	234
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	-38,714	-76
Number of Securities of RMBS in continuous loss position for less than 12 months	23	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	834,510	1,227
Unrealized losses on RMBS in continuous loss position	($38,714)	($317)
Number of Securities in continuous loss position	23	4

Residential_MortgageBacked_Sec7

Residential Mortgage-Backed Securities - Aggregate Other Than Temporary Impairments (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	3 Months Ended	6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Residential Mortgage-Backed Securities [Member]	'	'	'
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]	'	'	'
Total other-than-temporary impairment losses	($12,474)	'	($44,551)
Portion of loss recognized in other comprehensive income (loss)	-53,213	-6,163	-69,500
Net other-than-temporary credit impairment losses	($65,687)	($6,163)	($114,051)

Residential_MortgageBacked_Sec8

Residential Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) (Non-Agency RMBS [Member], USD $)	3 Months Ended		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Non-Agency RMBS [Member]	'	'	'	'
Investment Holdings [Line Items]	'	'	'	'
Cumulative credit loss beginning balance	$513,946	$493,900	$510,089	$452,060
Additions:	'	'	'	'
Other-than-temporary impairments not previously recognized	'	58,101	712	89,928
Reductions for securities sold during the period	-10,760	'	-11,119	-290
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	'	7,586	5,451	24,123
Reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security	-4,934	-18,928	-6,881	-25,162
Cumulative credit loss ending balance	$498,252	$540,659	$498,252	$540,659

Residential_MortgageBacked_Sec9

Residential Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) (Non-Agency RMBS [Member])	6 Months Ended
	Jun. 30, 2013		Jun. 30, 2012
Minimum [Member]	'		'
Investment Holdings [Line Items]	'		'
Loss Severity	41.00%		45.00%
60+ days delinquent	0.00%		9.00%
Credit Enhancement	0.00%	[1]	0.00%	[1]
3 Month CPR	0.00%		3.00%
12 Month CPR	9.00%		8.00%
Maximum [Member]	'		'
Investment Holdings [Line Items]	'		'
Loss Severity	69.00%		86.00%
60+ days delinquent	34.00%		53.00%
Credit Enhancement	48.00%	[1]	75.00%	[1]
3 Month CPR	25.00%		30.00%
12 Month CPR	35.00%		25.00%
Weighted Average [Member]	'		'
Investment Holdings [Line Items]	'		'
Loss Severity	45.00%		58.00%
60+ days delinquent	16.00%		28.00%
Credit Enhancement	10.00%	[1]	10.00%	[1]
3 Month CPR	18.00%		16.00%
12 Month CPR	20.00%		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 $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$1,076,858	$996,878
Gross Unrealized Gain Included in Accumulated Deficit	20,276	17,844
Total Gross Unrealized Gain	1,097,134	1,014,722
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	-39,870	-6,944
Gross Unrealized Loss Included in Accumulated Deficit	-39,103	-22,685
Total Gross Unrealized Loss	-78,973	-29,629
Non-Agency RMBS - Senior [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	16	16
Total Gross Unrealized Gain	16	16
Non-Agency RMBS - Senior interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Deficit	14,200	7,976
Total Gross Unrealized Gain	14,200	7,976
Gross Unrealized Loss Included in Accumulated Deficit	-37,077	-20,975
Total Gross Unrealized Loss	-37,077	-20,975
Non-Agency RMBS - Subordinated [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	99,999	81,492
Total Gross Unrealized Gain	99,999	81,492
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	-2,232	-6,747
Total Gross Unrealized Loss	-2,232	-6,747
Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	1	'
Gross Unrealized Gain Included in Accumulated Deficit	391	1,466
Total Gross Unrealized Gain	392	1,466
Gross Unrealized Loss Included in Accumulated Deficit	-950	-1,393
Total Gross Unrealized Loss	-950	-1,393
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	936,259	829,308
Gross Unrealized Gain Included in Accumulated Deficit	5,248	8,045
Total Gross Unrealized Gain	941,507	837,353
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	'	-197
Total Gross Unrealized Loss	'	-197
Agency RMBS [Member]	'	'
Investment Holdings [Line Items]	'	'
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	40,583	86,062
Gross Unrealized Gain Included in Accumulated Deficit	437	357
Total Gross Unrealized Gain	41,020	86,419
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	-37,638	'
Gross Unrealized Loss Included in Accumulated Deficit	-1,076	-317
Total Gross Unrealized Loss	($38,714)	($317)

Recovered_Sheet2

Residential Mortgage-Backed Securities - Collateral Characteristics (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Jun. 30, 2013		Dec. 31, 2012
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	$12,755,691,000		$10,693,576,000
Non-Agency RMBS - Senior [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	125,000		126,000
Weighted Average Amortized Cost Basis	45.92		57.02
Weighted Average Fair Value	58.75		67
Weighted Average Coupon	0.00%		0.00%
Weighted Average Yield at Period-End	11.50%	[1]	11.90%	[1]
Non-Agency RMBS - Senior interest-only [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	5,156,156,000		3,012,868,000
Weighted Average Amortized Cost Basis	5.58		4.51
Weighted Average Fair Value	5.13		4.08
Weighted Average Coupon	2.04%		1.76%
Weighted Average Yield at Period-End	16.51%	[1]	10.36%	[1]
Non-Agency RMBS - Subordinated [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	883,919,000		1,057,821,000
Weighted Average Amortized Cost Basis	42.18		44.72
Weighted Average Fair Value	53.24		51.79
Weighted Average Coupon	3.07%		3.18%
Weighted Average Yield at Period-End	12.40%	[1]	11.07%	[1]
Non-Agency RMBS - Subordinated interest-only [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	255,176,000		256,072,000
Weighted Average Amortized Cost Basis	5.72		6.32
Weighted Average Fair Value	5.51		6.35
Weighted Average Coupon	1.93%		2.25%
Weighted Average Yield at Period-End	8.23%	[1]	8.90%	[1]
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	4,259,153,000		4,610,109,000
Weighted Average Amortized Cost Basis	54.59		53.96
Weighted Average Fair Value	77.16		72.5
Weighted Average Coupon	4.76%		4.88%
Weighted Average Yield at Period-End	15.66%	[1]	15.44%	[1]
Agency RMBS [Member]	'		'
Investment Holdings [Line Items]	'		'
Principal or Notional Value at Period-End	2,201,162,000		1,756,580,000
Weighted Average Amortized Cost Basis	107.3		103.09
Weighted Average Fair Value	$107.42		$108.24
Weighted Average Coupon	4.22%		4.65%
Weighted Average Yield at Period-End	3.13%	[1]	3.59%	[1]
[1]	Bond Equivalent Yield at period end.

Recovered_Sheet3

Residential Mortgage-Backed Securities - Credit Ratings (Detail) (Non-Agency RMBS [Member])	Jun. 30, 2013	Dec. 31, 2012
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%	0.01%
AA Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	0.30%	0.46%
BB Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	1.69%	1.41%
B Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	1.19%	1.19%
Below B or Not Rated Credit Rating [Member]	'	'
Credit Derivatives [Line Items]	'	'
Percentage of RMBS portfolio at fair value, by credit rating	96.81%	96.93%

Recovered_Sheet4

Residential Mortgage-Backed Securities - Maturities (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	$10,395	$16,714
Greater than one year and less than five years, at fair value	716,850	2,186,563
Greater than five years and less than ten years, at fair value	4,329,808	2,495,382
Greater than ten years, at fair value	986,878	1,069,246
Fair Value	6,043,931	5,767,905
Less than one year, at amortized cost	9,997	14,647
Greater than one year and less than five years, at amortized cost	624,039	2,044,293
Greater than five years and less than ten years, at amortized cost	3,661,942	1,896,710
Greater than ten years, at amortized cost	729,792	827,162
Total, at amortized cost	5,025,770	4,782,812
Non-Agency RMBS - Senior [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Greater than five years and less than ten years, at fair value	73	88
Fair Value	73	88
Greater than five years and less than ten years, at amortized cost	57	72
Total, at amortized cost	57	72
Non-Agency RMBS - Senior interest-only [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	98	358
Greater than one year and less than five years, at fair value	68,987	47,205
Greater than five years and less than ten years, at fair value	162,075	66,927
Greater than ten years, at fair value	33,563	8,379
Fair Value	264,723	122,869
Less than one year, at amortized cost	1,199	657
Greater than one year and less than five years, at amortized cost	73,835	58,037
Greater than five years and less than ten years, at amortized cost	177,129	70,044
Greater than ten years, at amortized cost	35,437	7,130
Total, at amortized cost	287,600	135,868
Non-Agency RMBS - Subordinated [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	5,372	4,092
Greater than one year and less than five years, at fair value	70,843	23,948
Greater than five years and less than ten years, at fair value	284,701	359,310
Greater than ten years, at fair value	109,670	160,444
Fair Value	470,586	547,794
Less than one year, at amortized cost	4,162	2,649
Greater than one year and less than five years, at amortized cost	61,837	20,593
Greater than five years and less than ten years, at amortized cost	226,134	318,422
Greater than ten years, at amortized cost	80,686	131,385
Total, at amortized cost	372,819	473,049
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	12,433	9,658
Greater than ten years, at fair value	1,614	6,595
Fair Value	14,047	16,253
Greater than five years and less than ten years, at amortized cost	13,211	11,051
Greater than ten years, at amortized cost	1,394	5,129
Total, at amortized cost	14,605	16,180
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	4,853	12,118
Greater than one year and less than five years, at fair value	375,596	312,690
Greater than five years and less than ten years, at fair value	2,024,480	2,055,568
Greater than ten years, at fair value	814,762	893,828
Fair Value	3,219,691	3,274,204
Less than one year, at amortized cost	4,553	11,184
Greater than one year and less than five years, at amortized cost	296,190	248,699
Greater than five years and less than ten years, at amortized cost	1,392,243	1,493,647
Greater than ten years, at amortized cost	585,198	683,518
Total, at amortized cost	2,278,184	2,437,048
Agency RMBS [Member]	'	'
Schedule of Available-for-sale Securities [Line Items]	'	'
Less than one year, at fair value	72	146
Greater than one year and less than five years, at fair value	201,424	1,802,720
Greater than five years and less than ten years, at fair value	1,846,046	3,831
Greater than ten years, at fair value	27,269	'
Fair Value	2,074,811	1,806,697
Less than one year, at amortized cost	83	157
Greater than one year and less than five years, at amortized cost	192,177	1,716,964
Greater than five years and less than ten years, at amortized cost	1,853,168	3,474
Greater than ten years, at amortized cost	27,077	'
Total, at amortized cost	$2,072,505	$1,720,595

Recovered_Sheet5

Residential Mortgage-Backed Securities - Geographical and Other Statistics (Detail) (Non-Agency RMBS [Member], USD $)	Jun. 30, 2013		Dec. 31, 2012
	Point		Point
Investment Holdings [Line Items]	'		'
Weighted average maturity	'25 years 4 days		'24 years 9 months 18 days
Weighted average amortized loan to value	70.60%	[1]	71.60%	[1]
Weighted average FICO	713	[2]	717	[2]
Weighted average loan balance	$415,000		$453,100
Weighted average percentage owner occupied	84.70%		85.10%
Weighted average percentage single family residence	65.70%		65.50%
Weighted average current credit enhancement	1.90%		3.10%
California [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	35.60%		36.70%
Florida [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	9.20%		8.70%
New York [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	6.50%		6.40%
Virginia [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	'		2.40%
New Jersey [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	2.70%		2.80%
Maryland [Member]	'		'
Investment Holdings [Line Items]	'		'
Weighted average geographic concentration	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.

Recovered_Sheet6

Residential Mortgage-Backed Securities - Year Originated (Detail) (Non-Agency RMBS [Member])	Jun. 30, 2013	Dec. 31, 2012
Non-Agency RMBS [Member]	'	'
Origination Year as a Percentage of Outstanding Principal Balance:	'	'
2000	0.80%	0.20%
2001	1.30%	0.20%
2002	0.70%	0.00%
2003	0.90%	0.40%
2004	1.90%	0.60%
2005	17.20%	14.30%
2006	33.30%	34.60%
2007	42.10%	46.70%
2008	1.80%	3.00%
Total	100.00%	100.00%

Recovered_Sheet7

Residential Mortgage-Backed Securities - Resecuritizations - Narrative (Detail) (USD $)	3 Months Ended	6 Months Ended
	Jun. 30, 2013	Jun. 30, 2013	Jun. 30, 2012
Investment Holdings [Line Items]	'	'	'
Realized gains from sale of RMBS	$54,117,000	$54,123,000	$16,010,000
Residential Mortgage-Backed Securities [Member]	'	'	'
Investment Holdings [Line Items]	'	'	'
Carrying value of RMBS sold	375,300,000	375,500,000	63,000,000
Realized gains from sale of RMBS	$54,117,000	$54,123,000	$16,010,000

Securitized_Loans_Held_for_Inv2

Securitized Loans Held for Investment - Roll-Forward (Detail) (Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], Securitized Loans Held for Investment [Member], USD $)	6 Months Ended	12 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Dec. 31, 2012
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	$1,300,131	$256,632
Purchases	'	1,531,014
Principal paydowns	-367,765	-477,555
Net periodic amortization (accretion)	-9,079	-9,592
Change to loan loss provision	1,279	-368
Balance, end of period	$924,566	$1,300,131

Securitized_Loans_Held_for_Inv3

Securitized Loans Held for Investment - Summary (Detail) (Residential Mortgage-Backed Securities [Member], USD $)	Jun. 30, 2013	Dec. 31, 2012	Dec. 31, 2011
In Thousands, unless otherwise specified
Residential Mortgage-Backed Securities [Member]	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'
Securitized loans, at amortized cost	$934,152	$1,311,755	'
Less: allowance for loan losses	9,586	11,624	13,938
Securitized loans held for investment	$924,566	$1,300,131	'

Securitized_Loans_Held_for_Inv4

Securitized Loans Held for Investment - Narrative (Detail) (Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], Securitized Loans Held for Investment [Member], USD $)	6 Months Ended
	Jun. 30, 2013	Dec. 31, 2012
	Loan
Origination Year as a Percentage of Outstanding Principal Balance:	'	'
2012	36.40%	'
2011	39.40%	'
2010	8.10%	'
Prior to 2010	16.10%	'
Allowance for loan losses	$9,586,000	$11,624,000	[1]
Number of loans modified in the past twelve months and delinquent on scheduled payments	0	'
Allowance For Loan Losses General Reserve [Member]	'	'
Origination Year as a Percentage of Outstanding Principal Balance:	'	'
Allowance for loan losses	3,300,000	5,000,000
The total unpaid principal balance of non-impaired loans	889,400,000	1,300,000,000
Recorded investment in non-impaired loans	905,200,000	1,300,000,000
Allowance For Loan Losses Specific Loan Reserve [Member]	'	'
Origination Year as a Percentage of Outstanding Principal Balance:	'	'
Allowance for loan losses	6,300,000	6,600,000
Allowance for loan losses, specific reserve, portion having potential for future accretion into income	27,000,000	29,100,000
Recorded investment in impaired loans having a specific allowance for loan loss	19,400,000	21,800,000
Allowance For Loan Losses Specific Loan Reserve [Member] | Troubled Debt Restructuring [Member]	'	'
Origination Year as a Percentage of Outstanding Principal Balance:	'	'
Allowance for loan losses, specific reserve, portion having potential for future accretion into income	$4,900,000	'
[1]	Derived from the audited consolidated financial statements.

Securitized_Loans_Held_for_Inv5

Securitized Loans Held for Investment - Collateral Characteristics (Detail) (Residential Mortgage [Member], USD $)	Jun. 30, 2013		Dec. 31, 2012
	Point		Loan
	Loan		Point
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Number of loans	1,207		1,618
Weighted average maturity	'28 years		'28 years 3 months 18 days
Weighted average loan to value	71.00%	[1]	71.20%	[1]
Weighted average FICO	766	[2]	768	[2]
Weighted average loan balance	$784,800		$794,100
Weighted average percentage owner occupied	93.90%		94.60%
Weighted average percentage single family residence	69.60%		70.60%
California [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	34.90%		38.10%
Virginia [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	5.40%		6.30%
New York [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	6.70%		6.30%
New Jersey [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	5.00%		4.60%
Washington [Member]	'		'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'		'
Weighted average geographic concentration	4.90%		5.20%
[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 $)	6 Months Ended	12 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Dec. 31, 2012
Residential Mortgage-Backed Securities [Member]	'	'
Allowance for Loan and Lease Losses [Roll Forward]	'	'
Balance, beginning of period	$11,624	$13,938
Provision for loan losses	-1,279	368
Charge-offs	-759	-2,682
Balance, end of period	$9,586	$11,624

Securitized_Loans_Held_for_Inv7

Securitized Loans Held for Investment - Aging (Detail) (Residential Mortgage [Member], USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Residential Mortgage [Member]	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'
30 Days Delinquent	$3,972	$3,110
60 Days Delinquent	0	1,186
90+ Days Delinquent	2,919	4,045
Bankruptcy	0	0
Foreclosure	5,200	4,247
REO	0	1,390
Total	$12,091	$13,978

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 $)	6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012
	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	3	6
Unpaid Principal Balance of Modified Loans (Pre-modification)	$2,349	$3,424
Unpaid Principal Balance of Modified Loans (Post-modification)	2,358	3,536
Amortized Cost of Modified Loans	2,248	3,518
Amortized Cost of Modified Loans For Which There is an Allowance for Loan Losses	2,248	3,518
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 $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]	'	'
Agency mortgage-backed securities	$2,074,811	$1,806,697	[1]
Interest rate swaps	35,359	53,939	[1]
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	2,110,170	1,860,636
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	2,074,811	1,806,697
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	35,359	53,939
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	3,969,120	3,961,208
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	73	88
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	264,723	122,869
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	470,586	547,794
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	14,047	16,253
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	$3,219,691	$3,274,204
[1]	Derived from the audited consolidated financial statements.

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 $)	6 Months Ended	12 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Dec. 31, 2012
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	$3,961,208	$4,088,945
Transfers in to Level 3 assets	'	'
Transfers out of Level 3 assets	'	'
Purchases	174,661	122,509
Principal payments	-234,236	-516,370
Sales	-143,864	-328,261
Accretion of purchase discounts	59,435	98,804
Other than temporary credit impairment losses	-6,163	-132,250
Realized gains (losses) on sales	41,258	48,435
Net unrealized gains (losses) on interest-only RMBS	-13,309	804
Total unrealized gains (losses) for the period	130,130	578,592
Ending balance Level 3 assets	$3,969,120	$3,961,208

Fair_Value_Measurements_Unobse1

Fair Value Measurements - Unobservable Inputs Assumptions (Detail) (Fair Value, Inputs, Level 3 [Member])	6 Months Ended	12 Months Ended
	Jun. 30, 2013	Dec. 31, 2012
Non-Agency RMBS - Senior [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, discount rate	7.00%	7.50%
Non-Agency RMBS - Senior interest-only [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, discount rate	11.60%	13.90%
Non-Agency RMBS - Subordinated [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, discount rate	27.80%	25.90%
Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, discount rate	15.90%	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	5.20%	5.80%
Minimum [Member] | Non-Agency RMBS - Senior [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, prepayment rate	6.00%	11.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	50.00%	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%	1.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	50.00%	50.00%
Minimum [Member] | Non-Agency RMBS - Subordinated [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, prepayment rate	1.00%	1.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	50.00%	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%	4.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	50.00%	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%	1.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	50.00%	50.00%
Maximum [Member] | Non-Agency RMBS - Senior [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, prepayment rate	6.00%	11.00%
Significant unobservable input, default rate	0.00%	3.00%
Significant unobservable input, loss severity rate	50.00%	58.00%
Maximum [Member] | Non-Agency RMBS - Senior interest-only [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, prepayment rate	28.00%	25.00%
Significant unobservable input, default rate	22.00%	25.00%
Significant unobservable input, loss severity rate	85.00%	85.00%
Maximum [Member] | Non-Agency RMBS - Subordinated [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, prepayment rate	20.00%	18.00%
Significant unobservable input, default rate	22.00%	21.00%
Significant unobservable input, loss severity rate	85.00%	85.00%
Maximum [Member] | Non-Agency RMBS - Subordinated interest-only [Member]	'	'
Fair Value Inputs, Assets, Quantitative Information [Line Items]	'	'
Significant unobservable input, prepayment rate	13.00%	11.00%
Significant unobservable input, default rate	20.00%	21.00%
Significant unobservable input, loss severity rate	64.00%	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	20.00%	15.00%
Significant unobservable input, default rate	32.00%	36.00%
Significant unobservable input, loss severity rate	85.00%	85.00%

Fair_Value_Measurements_Carryi

Fair Value Measurements - Carrying And Fair Values (Detail) (USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Fair Value [Member] | Fair Value, Inputs, Level 3 [Member]	'	'
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]	'	'
Securitized loans held for investment	$908,018	$1,320,696
Securitized debt, collateralized by Non-Agency RMBS	-1,143,819	-1,334,551
Securitized debt, collateralized by loans held for investment	-797,602	-1,194,747
Fair Value [Member] | Fair Value, Inputs, Level 2 [Member]	'	'
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]	'	'
Repurchase agreements	-1,480,522	-1,531,511
Carrying Amount [Member]	'	'
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]	'	'
Securitized loans held for investment	924,566	1,300,131
Repurchase agreements	-1,478,141	-1,528,025
Securitized debt, collateralized by Non-Agency RMBS	-1,128,752	-1,336,261
Securitized debt, collateralized by loans held for investment	($805,229)	($1,169,710)

Repurchase_Agreements_Narrativ

Repurchase Agreements - Narrative (Detail) (USD $)	6 Months Ended	12 Months Ended
	Jun. 30, 2013	Dec. 31, 2012
Short-term Debt [Line Items]	'	'
Repurchase agreements outstanding	$1,478,141,000	$1,528,025,000	[1]
Weighted average borrowing rates	0.43%	0.52%
Weighted average remaining maturities, in days	'69 days	'56 days
Average daily balances of the Company's repurchase agreements	1,400,000,000	2,100,000,000
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	$1,600,000,000	[1]
[1]	Derived from the audited consolidated financial statements.

Repurchase_Agreements_Maturiti

Repurchase Agreements - Maturities (Detail) (USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	$1,478,141	$1,528,025	[1]
Overnight [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	6,655	'
1-29 days [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	771,163	732,809
30 to 59 days [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	514,872	325,915
90 to 119 days [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	'	211,137
Greater than or equal to 120 days [Member]	'	'
Assets Sold under Agreements to Repurchase [Line Items]	'	'
Repurchase agreements outstanding	$185,451	$258,164
[1]	Derived from the audited consolidated financial statements.

Securitized_Debt_Narrative_Det

Securitized Debt - Narrative (Detail) (Securitized Loans [Member], Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], USD $)	Jun. 30, 2013	Dec. 31, 2012	Jun. 30, 2013	Dec. 31, 2012	Jun. 30, 2013	Jun. 30, 2013	Jun. 30, 2013	Jun. 30, 2013
In Millions, unless otherwise specified	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	$806.50	$1,200	$1,200	$1,400	'	'	'	'
Year the debt matures	'	'	'	'	'2023	'2035	'2042	'2047
Weighted average cost of financing	3.35%	3.37%	4.36%	4.41%	'	'	'	'

Securitized_Debt_Maturities_De

Securitized Debt - Maturities (Detail) (Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], Securitized Loans [Member], USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans [Member]	'	'
Debt Instrument [Line Items]	'	'
Within One Year	$511,814	$658,423
One to Three Years	640,811	793,150
Three to Five Years	327,256	430,993
Greater Than or Equal to Five Years	380,786	555,717
Total	$1,860,667	$2,438,283

Variable_Interest_Entities_Eff

Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) (USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Assets	'	'
Accrued interest receivable	$17,399	$15,248	[1]
Liabilities	'	'
Accrued interest payable	1,297	2,441	[1]
Variable Interest Entity, Primary Beneficiary [Member]	'	'
Assets	'	'
Non-Agency RMBS transferred to consolidated VIEs	3,219,691	3,274,204
Securitized loans held for investment	924,566	1,300,131
Accrued interest receivable	20,136	24,082
Liabilities	'	'
Securitized debt, collateralized by Non-Agency RMBS	1,128,752	1,336,261
Securitized debt, collateralized by loans held for investment	805,229	1,169,710
Accrued interest payable	$6,494	$8,358
[1]	Derived from the audited consolidated financial statements.

Variable_Interest_Entities_Eff1

Variable Interest Entities - Effect on Consolidated Results (Detail) (USD $)	3 Months Ended		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Variable Interest Entity [Line Items]	'	'	'	'
Net interest income	$100,954	$139,571	$197,920	$252,864
Total other-than-temporary impairment losses	'	-12,474	'	-44,551
Portion of loss recognized in other comprehensive income (loss)	'	-53,213	-6,163	-69,500
Net other-than-temporary credit impairment losses	'	-65,687	-6,163	-114,051
Variable Interest Entity, Primary Beneficiary [Member]	'	'	'	'
Variable Interest Entity [Line Items]	'	'	'	'
Total other-than-temporary impairment losses	'	-3,883	'	-7,269
Portion of loss recognized in other comprehensive income (loss)	'	-48,081	-135	-73,132
Net other-than-temporary credit impairment losses	'	-51,964	-135	-80,401
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	93,936	109,493	190,664	207,842
Interest expense, Non-recourse liabilities of VIEs	-24,982	-19,480	-51,978	-53,529
Net interest income	$68,954	$90,013	$138,686	$154,313

Variable_Interest_Entities_Eff2

Variable Interest Entities - Effect on Consolidated Cash Flow (Detail) (USD $)	3 Months Ended		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'	'
(Accretion) amortization of investment discounts/premiums, net	'	'	($40,603)	($28,340)
Amortization of deferred financing costs	'	'	3,850	5,265
Accretion (amortization) of securitized debt discounts/premiums, net	'	'	4,753	-883
Payment of deferred financing costs	'	'	'	-8,073
Proceeds from securitized debt borrowings, collateralized by loans held for investment	'	'	'	1,101,526
Payments on securitized debt borrowings, collateralized by loans held for investment	'	'	-363,451	-110,495
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	'	'	-213,292	-257,938
Decrease (increase) in accrued interest receivable	'	'	1,795	-725
Increase (decrease) in accrued interest payable	'	'	-3,008	610
Residential Mortgage-Backed Securities transferred to consolidated VIEs [Member]	'	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'	'
Principal payments	'	'	230,947	263,772
Securitized Loans [Member]	'	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'	'
Principal payments	'	'	367,765	114,148
Variable Interest Entity, Primary Beneficiary [Member]	'	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'	'
(Accretion) amortization of investment discounts/premiums, net	-32,827	-32,533	-63,149	-64,663
Amortization of deferred financing costs	1,736	2,044	3,850	5,265
Accretion (amortization) of securitized debt discounts/premiums, net	2,940	-8,986	4,753	-883
Payment of deferred financing costs	'	-3,704	'	-8,073
Proceeds from securitized debt borrowings, collateralized by loans held for investment	'	405,413	'	1,101,526
Payments on securitized debt borrowings, collateralized by loans held for investment	-154,021	-90,765	-363,451	-110,495
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	-115,837	-128,049	-213,292	-257,938
Decrease (increase) in accrued interest receivable	2,142	1,557	3,946	-474
Increase (decrease) in accrued interest payable	-890	163	-1,864	1,427
Net cash provided by/(used in) consolidated VIEs	-15,034	369,369	-30,495	1,043,612
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	125,397	131,142	230,947	263,772
Variable Interest Entity, Primary Beneficiary [Member] | Securitized Loans [Member]	'	'	'	'
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]	'	'	'	'
Principal payments	$156,326	$93,087	$367,765	$114,148

Variable_Interest_Entities_Nar

Variable Interest Entities - Narrative (Detail) (Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member])	6 Months Ended
	Jun. 30, 2013
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 $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
RMBS, at fair value	'	'
Agency RMBS, at fair value	$2,074,811	$1,806,697	[1]
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]	'	'
RMBS, at amortized cost	'	'
Non-Agency RMBS-Senior at amortized cost	57	72
Non-Agency RMBS-Senior interest-only at amortized cost	'	'
Non-Agency RMBS-Subordinated at amortized cost	176	581
Agency RMBS, at amortized cost	813	1,198
Total, at amortized cost	1,046	1,851
RMBS, at fair value	'	'
Non-Agency RMBS-Senior at fair value	73	85
Non-Agency RMBS-Senior interest-only at fair value	78	128
Non-Agency RMBS-Subordinated at fair value	2,125	2,266
Agency RMBS, at fair value	584	1,001
Total, at fair value	$2,860	$3,480
[1]	Derived from the audited consolidated financial statements.

Interest_Rate_Swaps_Statement_

Interest Rate Swaps - Statement of Financial Condition (Detail) (USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Derivatives, Fair Value [Line Items]	'	'
Derivative liabilities - Net estimated fair value/carrying value	($35,359)	($53,939)	[1]
Liabilities [Member] | Interest Rate Swaps [Member]	'	'
Derivatives, Fair Value [Line Items]	'	'
Derivative liabilities - Notional amount	1,355,000	1,355,000
Derivative liabilities - Net estimated fair value/carrying value	-35,359	-53,939
Net Estimated Fair Value of RMBS Pledged as Collateral	$37,719	$60,382
[1]	Derived from the audited consolidated financial statements.

Interest_Rate_Swaps_Statement_1

Interest Rate Swaps - Statement of Operations (Detail) (USD $)	3 Months Ended		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Derivative Instruments, Gain (Loss) [Line Items]	'	'	'	'
Net unrealized gains (losses) on interest rate swaps	$13,178	($10,992)	$18,580	($10,180)
Net realized gains (losses) on interest rate swaps	-5,391	-5,194	-10,921	-9,592
Interest Rate Swaps [Member]	'	'	'	'
Derivative Instruments, Gain (Loss) [Line Items]	'	'	'	'
Net unrealized gains (losses) on interest rate swaps	13,178	-10,992	18,580	-10,180
Net realized gains (losses) on interest rate swaps	($5,391)	($5,194)	($10,921)	($9,592)

Interest_Rate_Swaps_Narrative_

Interest Rate Swaps - Narrative (Detail)	Jun. 30, 2013	Dec. 31, 2012
Derivatives, Fair Value [Line Items]	'	'
The weighted average pay rate on the Company's interest rate swaps	1.81%	1.81%
The weighted average receive rate on the Company's interest rate swaps	0.19%	0.21%

Interest_Rate_Swaps_Netting_Pr

Interest Rate Swaps - Netting Presentation (Detail) (USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Derivatives, Fair Value [Line Items]	'	'
Derivative liabilities - Gross unrealized losses	$35,359	$53,939
Derivative liabilities - Net unrealized losses	35,359	53,939	[1]
Liabilities [Member] | Interest Rate Swaps [Member]	'	'
Derivatives, Fair Value [Line Items]	'	'
Derivative liabilities - Notional amount	1,355,000	1,355,000
Derivative liabilities - Gross unrealized losses	35,359	53,939
Derivative liabilities - Net notional amount	1,355,000	1,355,000
Derivative liabilities - Net unrealized losses	$35,359	$53,939
[1]	Derived from the audited consolidated financial statements.

Common_Stock_Narrative_Detail

Common Stock - Narrative (Detail) (USD $)	3 Months Ended		6 Months Ended
In Thousands, except Share data, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
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	'	125,000,000	'
Number of common shares sold during the period under the equity distribution agreement with FIDAC and UBS	0	0	0	0
Proceeds from direct purchase and dividend reinvestment	'	'	'	$117
Shares issued during the period under the dividend reinvestment and share purchase plan	'	'	'	39,000
Common dividends declared	$92,400	$92,400	$184,869	$205,359
Common dividends declared, per share	$0.09	$0.09	$0.18	$0.20

Common_Stock_Earnings_Per_Shar

Common Stock - Earnings Per Share (Detail) (USD $)	3 Months Ended		6 Months Ended
In Thousands, except Share data, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]	'	'	'	'
Net income	$143,207	$40,781	$223,008	$121,014
Effect of dilutive securities:	'	'	'	'
Dilutive net income available to stockholders	$143,207	$40,781	$223,008	$121,014
Weighted average basic shares	1,027,066,041	1,026,809,700	1,027,052,341	1,026,785,896
Effect of dilutive securities	527,400	695,547	542,131	711,521
Weighted average diluted shares	1,027,593,441	1,027,505,247	1,027,594,472	1,027,497,417
Net income per average share attributable to common stockholders - Basic	$0.14	$0.04	$0.22	$0.12
Net income per average share attributable to common stockholders - Diluted	$0.14	$0.04	$0.22	$0.12

Accumulated_Other_Comprehensiv2

Accumulated Other Comprehensive Income - Components of AOCI (Detail) (USD $)	3 Months Ended		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013		Jun. 30, 2012
Accumulated Other Comprehensive Income (Loss) [Line Items]	'	'	'		'
Accumulated other comprehensive income, beginning balance	'	'	$989,936	[1]	'
OCI before reclassifications	-22,582	-4,021	95,012		119,113
Amounts reclassified from AOCI	'	'	-47,960		'
Net current period OCI	-76,699	61,666	47,052		217,154
Accumulated other comprehensive income, ending balance	1,036,988	'	1,036,988		'
Unrealized gains (losses) on available-for-sale securities, net [Member]	'	'	'		'
Accumulated Other Comprehensive Income (Loss) [Line Items]	'	'	'		'
Accumulated other comprehensive income, beginning balance	'	'	989,936		'
OCI before reclassifications	'	'	95,012		'
Amounts reclassified from AOCI	'	'	-47,960		'
Net current period OCI	'	'	47,052		'
Accumulated other comprehensive income, ending balance	$1,036,988	'	$1,036,988		'
[1]	Derived from the audited consolidated financial statements.

Accumulated_Other_Comprehensiv3

Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) (USD $)	3 Months Ended		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]	'	'	'	'
Net realized gains (losses) on sales of investments	$54,117	'	$54,123	$16,010
Net other-than-temporary credit impairment losses	'	-65,687	-6,163	-114,051
Income (loss) before income taxes	143,207	40,781	223,010	121,016
Income taxes	0	0	-2	-2
Net of tax	143,207	40,781	223,008	121,014
Amounts Reclassified from Accumulated OCI [Member] | Unrealized gains (losses) on available-for-sale securities, net [Member]	'	'	'	'
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]	'	'	'	'
Net realized gains (losses) on sales of investments	'	'	54,123	'
Net other-than-temporary credit impairment losses	'	'	-6,163	'
Income (loss) before income taxes	'	'	47,960	'
Income taxes	'	'	'	'
Net of tax	'	'	$47,960	'

Long_Term_Incentive_Plan_Narra

Long Term Incentive Plan - Narrative (Detail) (USD $)	0 Months Ended	3 Months Ended		6 Months Ended
	Jun. 02, 2008	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Share-based Goods and Nonemployee Services Transaction [Line Items]	'	'	'	'	'
Equity-based compensation expense	'	'	'	$163,000	$169,000
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 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	'
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	'	1,600,000	'	1,600,000	'
Weighted average period over which unrecognized compensation costs related to non-vested share-based compensation is expected to be recognized	'	'4 years 6 months	'	'4 years 6 months	'
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	'	87,000	88,000	160,000	170,000
Compensation expense, amortization of restricted stock awards	'	94,000	88,000	172,000	169,000
Independent Directors Compensation Plan [Member]	'	'	'	'	'
Share-based Goods and Nonemployee Services Transaction [Line Items]	'	'	'	'	'
Equity-based compensation expense	'	$75,000	$75,000	$150,000	$150,000

Long_Term_Incentive_Plan_Sched

Long Term Incentive Plan - Schedule of Restricted Stock Awards Activity (Detail) (FIDAC Employees and Independent Directors [Member], Restricted Stock [Member], USD $)	3 Months Ended		6 Months Ended
	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
FIDAC Employees and Independent Directors [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	$17.72	$17.72
Vested, weighted average grant date fair value	$17.72	$17.72	$17.72	$17.72
Forfeited, weighted average grant date fair value	$17.72	$17.72	$17.72	$17.72
Unvested shares outstanding - end of period, weighted average grant date fair value	$17.72	$17.72	$17.72	$17.72
Unvested shares outstanding - beginning of period	556,700	726,800	586,000	758,400
Vested	-27,248	-31,398	-54,583	-62,819
Forfeited	-2,052	-202	-4,017	-381
Unvested shares outstanding - end of period	527,400	695,200	527,400	695,200

Income_Taxes_Narrative_Detail

Income Taxes - Narrative (Detail) (USD $)	3 Months Ended		6 Months Ended
In Thousands, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012
Income Taxes [Line Items]	'	'	'	'
Minimum percentage of taxable income that must be distributed to maintain REIT status	'	'	90.00%	'
Income taxes	$0	$0	$2	$2
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	'

Credit_Risk_and_Interest_Rate_2

Credit Risk and Interest Rate Risk - Offsetting Liabilities (Detail) (USD $)	Jun. 30, 2013	Dec. 31, 2012
In Thousands, unless otherwise specified
Offsetting Liabilities [Line Items]	'	'
Repurchase Agreements, Gross Amounts of Recognized Assets (Liabilities)	($1,478,141)	($1,528,025)
Repurchase Agreements, Net Amounts Offset in the Consolidated Statements of Financial Position	-1,478,141	-1,528,025	[1]
Repurchase Agreements, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	1,553,077	1,604,560
Repurchase Agreements, Net Amount	74,936	76,535
Derivatives, Gross Amounts of Recognized Assets (Liabilities)	-35,359	-53,939
Derivatives, Net Amounts Offset in the Consolidated Statements of Financial Position	-35,359	-53,939	[1]
Derivatives, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	37,719	60,382
Derivatives, Net Amount	2,360	6,443
Total Liabilities, Gross Amounts of Recognized Assets (Liabilities)	-1,513,500	-1,581,964
Total Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position	-1,513,500	-1,581,964
Total Liabilities, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	1,590,796	1,664,942
Total Liabilities, Net Amount	$77,296	$82,978
[1]	Derived from the audited consolidated financial statements.

Management_Agreement_and_Relat1

Management Agreement and Related Party Transactions - Narrative (Detail) (USD $)	3 Months Ended		6 Months Ended		7 Months Ended	24 Months Ended
In Thousands, except Share data, unless otherwise specified	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Dec. 31, 2011
Related Party Transaction [Line Items]	'	'	'	'	'	'
Management fees accrued and paid to FIDAC for the period	$6,498	$12,903	$12,947	$25,812	'	'
Expense recoveries from Manager	3,315	'	5,170	'	'	'
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	6,498	12,903	12,947	25,812	'	'
The amount the Company reimbursed FIDAC for its costs incurred under the management agreement during the period	129	125	228	240	'	'
Expense recoveries from Manager	3,315	0	5,170	0	'	'
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	29,300	31,600	58,600	63,200	'	'
RCap Securities Inc [Member]	'	'	'	'	'	'
Related Party Transaction [Line Items]	'	'	'	'	'	'
Administrative fees	$35	$29	$69	$73	'	'

Subsequent_Events_Narrative_De

Subsequent Events - Narrative (Detail) (USD $)	3 Months Ended		6 Months Ended
	Jun. 30, 2013	Jun. 30, 2012	Jun. 30, 2013	Jun. 30, 2012	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]
					Dividend Declared Quarter Three 2013 [Member]	Dividend Declared Quarter Four 2013 [Member]	Dividend Declared Quarter One 2014 [Member]	Dividend Declared Quarter Two 2014 [Member]	Special Dividend [Member]
Subsequent Event [Line Items]	'	'	'	'	'	'	'	'	'
Distributions paid to common stock shareholders, per share	'	'	'	'	$0.09	$0.09	'	'	$0.20
Common dividends declared, per share	$0.09	$0.09	$0.18	$0.20	'	'	$0.09	$0.09	'
Dividend payment date	'	'	'	'	'	'	'	'	31-Jan-14
Dividend record date	'	'	'	'	'	'	'	'	8-Jan-14