Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value of Financial Instruments

Schedule of financial instruments carried at fair value by valuation hierarchy

Fair Value at September 30, 2012
(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS	$	—	$	7,476,848	$	—	$	7,476,848
Non-Agency MBS, including MBS transferred to consolidated VIEs	—		5,196,975		—		5,196,975
Securities obtained and pledged as collateral	509,704		—		—		509,704
Linked Transactions	—		12,767		—		12,767
Total assets carried at fair value	$	509,704	$	12,686,590	$	—	$	13,196,294
Liabilities:
Derivative hedging instruments	$	—	$	78,169	$	—	$	78,169
Obligation to return securities obtained as collateral	509,704		—		—		509,704
Total liabilities carried at fair value	$	509,704	$	78,169	$	—	$	587,873

Schedule of carrying value and fair value of financial instruments

	September 30, 2012				December 31, 2011
	Carrying		Estimated		Carrying		Estimated
(In Thousands)	Value		Fair Value		Value		Fair Value
Financial Assets:
Agency MBS	$	7,476,848	$	7,476,848	$	7,137,531	$	7,137,531
Non-Agency MBS, including MBS transferred to consolidated VIEs	5,196,975		5,196,975		3,775,446		3,775,446
Securities obtained and pledged as collateral	509,704		509,704		306,401		306,401
Cash and cash equivalents	450,442		450,442		394,022		394,022
Restricted cash	7,013		7,013		15,502		15,502
Linked Transactions	12,767		12,767		55,801		55,801
Derivative hedging instruments	—		—		26		26
Financial Liabilities:
Repurchase agreements	8,832,326		8,832,751		7,813,159		7,812,652
Securitized debt	749,471		749,022		875,520		859,506
Obligation to return securities obtained as collateral	509,704		509,704		306,401		306,401
Senior Notes	100,000		103,920		—		—
Derivative hedging instruments	78,169		78,169		114,220		114,220