Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Fair Value of Financial Instruments

Schedule of financial instruments carried at fair value by valuation hierarchy

Fair Value at September 30, 2011
(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS	$	—	$	7,519,002	$	—	$	7,519,002
Non-Agency MBS, including MBS transferred to consolidated VIEs	—		3,889,310		—		3,889,310
Linked Transactions	—		64,494		—		64,494
Derivative hedging instruments	—		81		—		81
Total assets carried at fair value	$	—	$	11,472,887	$	—	$	11,472,887
Liabilities:
Derivative hedging instruments	$	—	$	134,712	$	—	$	134,712
Total liabilities carried at fair value	$	—	$	134,712	$	—	$	134,712

Schedule of carrying value and fair value of financial instruments

	September 30, 2011				December 31, 2010
(In Thousands)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Agency MBS	$	7,519,002	$	7,519,002	$	5,980,623	$	5,980,623
Non-Agency MBS, including MBS transferred to consolidated VIEs	3,889,310		3,889,310		2,078,087		2,078,087
Cash and cash equivalents	421,026		421,026		345,243		345,243
Restricted cash	22,498		22,498		41,927		41,927
Linked Transactions	64,494		64,494		179,915		179,915
Derivative hedging instruments (Swaps and Swaptions)	81		81		—		—
Financial Liabilities:
Repurchase agreements	8,017,663		8,018,144		5,992,269		5,993,769
Securitized debt	958,406		952,414		220,933		221,209
Derivative hedging instruments (Swaps)	134,712		134,712		139,142		139,142