XML 62 R60.htm IDEA: XBRL DOCUMENT v2.4.0.6
Fair Value of Financial Instruments (Details) (USD $)
In Thousands, unless otherwise specified
Jun. 30, 2012
Dec. 31, 2011
Assets:    
Agency MBS $ 7,014,611 $ 7,137,531
Securities obtained and pledged as collateral 512,907 306,401
Linked Transactions 14,295 55,801
Liabilities:    
Derivative hedging instruments (Swaps) 89,823 114,220
Obligation to return securities obtained as collateral 512,907 306,401
Recurring basis | Level 1
   
Assets:    
Securities obtained and pledged as collateral 512,907  
Total assets carried at fair value 512,907  
Liabilities:    
Obligation to return securities obtained as collateral 512,907  
Total liabilities carried at fair value 512,907  
Recurring basis | Level 2
   
Assets:    
Agency MBS 7,014,611  
Non-Agency MBS, including MBS transferred to consolidated VIEs 4,675,893  
Linked Transactions 14,295  
Total assets carried at fair value 11,704,799  
Liabilities:    
Derivative hedging instruments (Swaps) 89,823  
Total liabilities carried at fair value 89,823  
Recurring basis | Estimated fair value
   
Assets:    
Agency MBS 7,014,611  
Non-Agency MBS, including MBS transferred to consolidated VIEs 4,675,893  
Securities obtained and pledged as collateral 512,907  
Linked Transactions 14,295  
Total assets carried at fair value 12,217,706  
Liabilities:    
Derivative hedging instruments (Swaps) 89,823  
Obligation to return securities obtained as collateral 512,907  
Total liabilities carried at fair value $ 602,730