Financial Instruments

12 Months Ended

Dec. 31, 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 the Company's Agency MBS and derivative and hedging assets and liabilities were valued using Level 2 inputs at December 31, 2011 and 2010. See Notes 4 and 7, respectively for a discussion on how agency securities and hedging assets and liabilities were valued. The carrying values and approximate fair values of all financial instruments as of December 31, 2011 and 2010 were as follows:

	December 31, 2011				December 31, 2010
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets
Mortgage backed securities	$	17,741,873	$	17,741,873	$	9,587,216	$	9,587,216
Unsettled purchased mortgage backed securities		49,630		49,630		49,710		49,710
Cash and cash equivalents		347,045		347,045		112,626		112,626
Restricted cash		237,014		237,014		75,422		75,422
Accrued interest receivable		63,025		63,025		37,973		37,973
Principal payments receivable		105,333		105,333		84,151		84,151
Debt Security		15,000		13,811		15,000		15,000
Interest rate hedge asset		—		—		23,944		23,944
Short term investment*		20,221		20,221		19,943		19,943
Forward purchase commitments*		6,327		6,327		0		0
Liabilities
Repurchase agreements	$	16,162,375	$	16,162,375	$	8,681,060	$	8,681,060
Payable for unsettled securities		48,999		48,999		49,774		49,774
Accrued interest payable		4,596		4,596		3,177		3,177
Interest rate hedge liability		219,167		219,167		71,681		71,681
Forward purchase commitments**		—		—		8,545		8,545

* This line included in other assets on the balance sheet

** This line included in accounts payable and other liabilities on the balance sheet