XML 62 R60.htm IDEA: XBRL DOCUMENT v2.4.0.6
Fair Value of Financial Instruments (Details) (USD $)
In Thousands, unless otherwise specified
Mar. 31, 2013
Dec. 31, 2012
Assets:    
Agency MBS $ 7,153,905 $ 7,225,460
Securities obtained and pledged as collateral 408,118 408,833
Linked Transactions 12,572 12,704
Derivative hedging instruments 324 203
Liabilities:    
Derivative hedging instruments (Swaps) 50,839 63,034
Obligation to return securities obtained as collateral 508,187 508,827
Level 2
   
Components of financial instruments carried at fair value    
Credit valuation adjustment to derivative liabilities 0  
Credit valuation adjustment to derivative assets 0  
Recurring basis
   
Assets:    
Agency MBS 7,153,905  
Non-Agency MBS, including MBS transferred to consolidated VIEs 5,388,277  
Securities obtained and pledged as collateral 408,118  
Linked Transactions 12,572  
Derivative hedging instruments 324  
Total assets carried at fair value 12,963,196  
Liabilities:    
Derivative hedging instruments (Swaps) 50,839  
Obligation to return securities obtained as collateral 508,187  
Total liabilities carried at fair value 559,026  
Recurring basis | Level 1
   
Assets:    
Securities obtained and pledged as collateral 408,118  
Total assets carried at fair value 408,118  
Liabilities:    
Obligation to return securities obtained as collateral 508,187  
Total liabilities carried at fair value 508,187  
Recurring basis | Level 2
   
Assets:    
Agency MBS 7,153,905  
Non-Agency MBS, including MBS transferred to consolidated VIEs 5,388,277  
Linked Transactions 12,572  
Derivative hedging instruments 324  
Total assets carried at fair value 12,555,078  
Liabilities:    
Derivative hedging instruments (Swaps) 50,839  
Total liabilities carried at fair value $ 50,839