Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2011

Fair Value of Financial Instruments

Schedule of financial instruments carried at fair value by valuation hierarchy

Fair Value at December 31, 2011
(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS	$	—	$	7,137,531	$	—	$	7,137,531
Non-Agency MBS, including MBS transferred to consolidated VIEs	—		3,775,446		—		3,775,446
Securities obtained and pledged as collateral	306,401		—		—		306,401
Linked Transactions	—		55,801		—		55,801
Derivative hedging instruments	—		26		—		26
Total assets carried at fair value	$	306,401	$	10,968,804	$	—	$	11,275,205
Liabilities:
Derivative hedging instruments	$	—	$	114,220	$	—	$	114,220
Obligation to return securities obtained as collateral	306,401		—		—		306,401
Total liabilities carried at fair value	$	306,401	$	114,220	$	—	$	420,621

Schedule of carrying value and fair value of financial instruments

	December 31, 2011				December 31, 2010
	Carrying		Estimated		Carrying		Estimated
(In Thousands)	Value		Fair Value		Value		Fair Value
Financial Assets:
Agency MBS	$	7,137,531	$	7,137,531	$	5,980,623	$	5,980,623
Non-Agency MBS, including MBS transferred to consolidated VIEs	3,775,446		3,775,446		2,078,087		2,078,087
Securities obtained and pledged as collateral	306,401		306,401		—		—
Cash and cash equivalents	394,022		394,022		345,243		345,243
Restricted cash	15,502		15,502		41,927		41,927
Linked Transactions	55,801		55,801		179,915		179,915
Derivative hedging instruments (Swaps and Swaptions)	26		26		—		—
Financial Liabilities:
Repurchase agreements	7,813,159		7,812,652		5,992,269		5,993,769
Securitized debt	875,520		859,506		220,933		221,209
Obligation to return securities obtained as collateral	306,401		306,401		—		—
Derivative hedging instruments (Swaps)	114,220		114,220		139,142		139,142