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Fair Values of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2014
Fair Value Disclosures [Abstract]  
Fair Value Measurements on Recurring Basis

At September 30, 2014, fair value measurements on a recurring basis were as follows (in thousands):

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency MBS(1)

 

$

-

 

 

$

7,411,252

 

 

$

-

 

 

$

7,411,252

 

Derivative instruments(2)

 

$

-

 

 

$

662,095

 

 

$

-

 

 

$

662,095

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative instruments(2)

 

$

-

 

 

$

671,288

 

 

$

-

 

 

$

671,288

 

 

 

(1)

For more detail about the fair value of our MBS by agency and type of security, see Note 3.

(2)

Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Notes 1 and 13.

At December 31, 2013, fair value measurements on a recurring basis were as follows (in thousands):

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency MBS(1)

 

$

-

 

 

$

8,556,446

 

 

$

-

 

 

$

8,556,446

 

Derivative instruments(2)

 

$

-

 

 

$

22,551

 

 

$

-

 

 

$

22,551

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative instruments(2)

 

$

-

 

 

$

55,914

 

 

$

-

 

 

$

55,914

 

 

 

(1)

For more detail about the fair value of our MBS by agency and type of security, see Note 3.

(2)

Derivative instruments are hedging instruments under ASC 815-10. For more detail about our derivative instruments, see Notes 1 and 13.