Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2012

Fair Value of Financial Instruments

Schedule of financial instruments carried at fair value by valuation hierarchy

Fair Value at December 31, 2012

(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Agency MBS	$	—	$	7,225,460	$	—	$	7,225,460
Non-Agency MBS, including MBS transferred to consolidated VIEs	—		5,382,165		—		5,382,165
Securities obtained and pledged as collateral	408,833		—		—		408,833
Linked Transactions	—		12,704		—		12,704
Derivative hedging instruments	—		203		—		203
Total assets carried at fair value	$	408,833	$	12,620,532	$	—	$	13,029,365
Liabilities:
Derivative hedging instruments	$	—	$	63,034	$	—	$	63,034
Obligation to return securities obtained as collateral	508,827		—		—		508,827
Total liabilities carried at fair value	$	508,827	$	63,034	$	—	$	571,861

Schedule of carrying value and fair value of financial instruments

	December 31, 2012				December 31, 2011
(In Thousands)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Agency MBS	$	7,225,460	$	7,225,460	$	7,137,531	$	7,137,531
Non-Agency MBS, including MBS transferred to consolidated VIEs	5,382,165		5,382,165		3,775,446		3,775,446
Securities obtained and pledged as collateral	408,833		408,833		306,401		306,401
Cash and cash equivalents	401,293		401,293		394,022		394,022
Restricted cash	5,016		5,016		15,502		15,502
Linked Transactions	12,704		12,704		55,801		55,801
Derivative hedging instruments	203		203		26		26
Financial Liabilities:
Repurchase agreements	8,752,472		8,754,521		7,813,159		7,812,652
Securitized debt	646,816		647,070		875,520		859,506
Obligation to return securities obtained as collateral	508,827		508,827		306,401		306,401
Senior Notes	100,000		103,040		—		—
Derivative hedging instruments	63,034		63,034		114,220		114,220