Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2014

Fair Value Disclosures [Abstract]

Schedule of financial instruments carried at fair value by valuation hierarchy

The following table presents the Company’s financial instruments carried at fair value on a recurring basis as of June 30, 2014, on the consolidated balance sheet by the valuation hierarchy, as previously described:

Fair Value at June 30, 2014

(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS	$	—	$	6,549,451	$	—	$	6,549,451
Non-Agency MBS, including MBS transferred to  consolidated VIEs	—		5,001,337		—		5,001,337
Securities obtained and pledged as collateral	446,375		—		—		446,375
Linked Transactions	—		106,859		—		106,859
Swaps	—		2,755		—		2,755
Total assets carried at fair value	$	446,375	$	11,660,402	$	—	$	12,106,777
Liabilities:
Swaps	$	—	$	57,426	$	—	$	57,426
Obligation to return securities obtained as collateral	446,375		—		—		446,375
Total liabilities carried at fair value	$	446,375	$	57,426	$	—	$	503,801

Schedule of carrying value and fair value of financial instruments

The following table presents the carrying values and estimated fair values of the Company’s financial instruments at fair value, at June 30, 2014 and December 31, 2013:

	June 30, 2014				December 31, 2013
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
(In Thousands)
Financial Assets:
Agency MBS	$	6,549,451	$	6,549,451	$	6,519,221	$	6,519,221
Non-Agency MBS, including MBS transferred to  consolidated VIEs	5,001,337		5,001,337		4,852,137		4,852,137
Securities obtained and pledged as collateral	446,375		446,375		383,743		383,743
Cash and cash equivalents	343,719		343,719		565,370		565,370
Restricted cash	54,430		54,430		37,520		37,520
Linked Transactions	106,859		106,859		28,181		28,181
Swaps	2,755		2,755		13,000		13,000
Residential whole loans	59,746		59,746		—		—
Financial Liabilities:
Repurchase agreements	8,384,101		8,383,492		8,339,297		8,339,071
Securitized debt	214,048		214,821		366,205		366,767
Obligation to return securities obtained as collateral	446,375		446,375		383,743		383,743
Senior Notes	100,000		104,720		100,000		98,000
Swaps	57,426		57,426		28,217		28,217