Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2012

Fair Value of Financial Instruments

Schedule of financial instruments carried at fair value by valuation hierarchy

Fair Value at March 31, 2012

(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS	$	—	$	7,059,629	$	—	$	7,059,629
Non-Agency MBS, including MBS transferred to consolidated VIEs	—		4,415,277		—		4,415,277
Securities obtained and pledged as collateral	503,740		—		—		503,740
Linked Transactions	—		20,124		—		20,124
Total assets carried at fair value	$	503,740	$	11,495,030	$	—	$	11,998,770
Liabilities:
Derivative hedging instruments	$	—	$	102,103	$	—	$	102,103
Obligation to return securities obtained as collateral	503,740		—		—		503,740
Total liabilities carried at fair value	$	503,740	$	102,103	$	—	$	605,843

Schedule of carrying value and fair value of financial instruments

	March 31, 2012				December 31, 2011
(In Thousands)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Agency MBS	$	7,059,629	$	7,059,629	$	7,137,531	$	7,137,531
Non-Agency MBS, including MBS transferred to consolidated VIEs	4,415,277		4,415,277		3,775,446		3,775,446
Securities obtained and pledged as collateral	503,740		503,740		306,401		306,401
Cash and cash equivalents	374,621		374,621		394,022		394,022
Restricted cash	13,005		13,005		15,502		15,502
Linked Transactions	20,124		20,124		55,801		55,801
Derivative hedging instruments	—		—		26		26
Financial Liabilities:
Repurchase agreements	7,908,932		7,908,450		7,813,159		7,812,652
Securitized debt	967,422		958,923		875,520		859,506
Obligation to return securities obtained as collateral	503,740		503,740		306,401		306,401
Derivative hedging instruments	102,103		102,103		114,220		114,220