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Financial Instruments
9 Months Ended
Sep. 30, 2011
Financial Instruments [Abstract] 
Financial Instruments

3. Financial Instruments

The Company's valuation techniques for financial instruments are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company's market assumptions. The ASC Topic on Fair Value Measurements classifies these inputs into the following hierarchy:

Level 1 Inputs – Quoted prices for identical instruments in active markets.

Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

Level 3 Inputs – Instruments with primarily unobservable value drivers.

All of our agency securities and derivative and hedging assets and liabilities were valued using Level 2 inputs at September 30,2011 and December 31, 2010.  The carrying values and approximate fair values of all financial instruments as of September 30, 2011 and December 31, 2010 were as follows:

 

                                 
     September 30, 2011      December 31, 2010  
     Carrying
Value		      Fair
Value		      Carrying
Value		      Fair
Value		  

Assets

                                    

Mortgage backed securities

    $ 17,614,374       $ 17,614,374       $ 9,587,216       $ 9,587,216   

Unsettled purchased mortgage backed securities

      143,410         143,410         49,710         49,710   

Cash and cash equivalents

      88,338         88,338         112,626         112,626   

Restricted cash

      279,536         279,536         75,422         75,422   

Accrued interest receivable

      63,873         63,873         37,973         37,973   

Debt Security

      15,000         15,000         15,000         15,000   

Interest rate hedge asset

      —           —           23,944         23,944   

Forward purchase commitments*

      4,993         4,993         —           —     

Short term investment*

      20,261         20,261         19,943         19,943   

Liabilities

                                    

Repurchase agreements

    $ 15,886,231       $ 15,886,231       $ 8,681,060       $ 8,681,060   

Payable for unsettled securities

      143,393         143,393         49,774         49,774   

Accrued interest payable

      2,328         2,328         3,177         3,177   

Interest rate hedge liability

      233,392         233,392         71,681         71,681   

Forward purchase commitments**

      —           —           8,545         8,545   

 

* This line item is included in other assets on the balance sheet.
** This line item is included in other liabilities on the balance sheet.