Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

Fair Value of Financial Instruments

Schedule of financial instruments carried at fair value by valuation hierarchy

Fair Value at June 30, 2012
(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS	$	—	$	7,014,611	$	—	$	7,014,611
Non-Agency MBS, including MBS transferred to consolidated VIEs	—		4,675,893		—		4,675,893
Securities obtained and pledged as collateral	512,907		—		—		512,907
Linked Transactions	—		14,295		—		14,295
Total assets carried at fair value	$	512,907	$	11,704,799	$	—	$	12,217,706
Liabilities:
Derivative hedging instruments	$	—	$	89,823	$	—	$	89,823
Obligation to return securities obtained as collateral	512,907		—		—		512,907
Total liabilities carried at fair value	$	512,907	$	89,823	$	—	$	602,730

Schedule of carrying value and fair value of financial instruments

	June 30, 2012				December 31, 2011
	Carrying		Estimated		Carrying		Estimated
(In Thousands)	Value		Fair Value		Value		Fair Value
Financial Assets:
Agency MBS	$	7,014,611	$	7,014,611	$	7,137,531	$	7,137,531
Non-Agency MBS, including MBS transferred to consolidated VIEs	4,675,893		4,675,893		3,775,446		3,775,446
Securities obtained and pledged as collateral	512,907		512,907		306,401		306,401
Cash and cash equivalents	593,376		593,376		394,022		394,022
Restricted cash	9,009		9,009		15,502		15,502
Linked Transactions	14,295		14,295		55,801		55,801
Derivative hedging instruments	—		—		26		26
Financial Liabilities:
Repurchase agreements	8,368,407		8,368,066		7,813,159		7,812,652
Securitized debt	861,255		853,979		875,520		859,506
Obligation to return securities obtained as collateral	512,907		512,907		306,401		306,401
Senior Notes	100,000		102,280		—		—
Derivative hedging instruments	89,823		89,823		114,220		114,220