Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2014

Carrying Values and Fair Values of All Financial Instruments

The carrying values and fair values of all financial instruments as of June 30, 2014 and December 31, 2013 were as follows.  

	June 30, 2014				December 31, 2013
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets
Mortgage-backed securities	$	16,651,220	$	16,651,220	$	17,642,532	$	17,642,532
Cash and cash equivalents		377,350		377,350		763,326		763,326
Restricted cash		305,082		305,082		225,379		225,379
Unsettled purchased mortgage backed securities		60,393		60,393		-		-
Receivable for securities sold		152,177		152,177		231,214		231,214
Accrued interest receivable		52,578		52,578		55,156		55,156
Principal payments receivable		120,026		120,026		95,021		95,021
Debt security, held to maturity (1)		15,000		15,007		15,000		14,307
Interest rate swap and swaption assets (2)		11,642		11,642		15,841		15,841
Futures Contracts (2)		-		-		11,148		11,148
Short term investment (3)		20,203		20,203		19,910		19,910
Forward purchase commitments (2)		16,939		16,939		-		-
Liabilities
Repurchase agreements	$	15,019,880		15,019,880	$	16,129,683	$	16,129,683
Dollar roll liabilities		-		-		351,826		351,826
Payable for unsettled securities		59,811		59,811		-		-
Accrued interest payable		3,148		3,148		8,279		8,279
Interest rate swap liability (3)		89,225		89,225		125,133		125,133
Futures Contracts (3)		132,972		132,972		36,733		36,733
Forward purchase commitments (3)		-		-		5,741		5,741

⁽¹⁾  These lines are included in other investments on the consolidated balance sheets.

⁽²⁾  These lines are included in derivative assets on the consolidated balance sheets.

⁽³⁾  These lines are included in derivative liabilities on the consolidated balance sheets.