Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Carrying Values and Fair Values of All Financial Instruments

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

	September 30, 2014				December 31, 2013
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets
Mortgage-backed securities	$	16,890,424	$	16,890,424	$	17,642,532	$	17,642,532
Cash and cash equivalents		215,073		215,073		763,326		763,326
Restricted cash		226,764		226,764		225,379		225,379
Unsettled purchased mortgage backed securities		45,691		45,691		-		-
Receivable for securities sold		-		-		231,214		231,214
Accrued interest receivable		52,757		52,757		55,156		55,156
Principal payments receivable		128,041		128,041		95,021		95,021
Debt security, held-to-maturity (1)		15,000		14,905		15,000		14,307
Interest rate swaps and swaptions (2)		27,815		27,815		15,841		15,841
Futures Contracts asset (2)		1,299		1,299		11,148		11,148
Short-term investments (1)		20,163		20,163		19,910		19,910
Forward purchase commitments (2)		1,888		1,888		-		-
Liabilities
Repurchase agreements	$	14,920,959		14,920,959	$	16,129,683	$	16,129,683
Dollar roll liability		-		-		351,826		351,826
Payable for unsettled securities		45,571		45,571		-		-
Accrued interest payable		2,841		2,841		8,279		8,279
Interest rate swap liability (3)		58,484		58,484		125,133		125,133
Futures Contracts liability (3)		96,867		96,867		36,733		36,733
Forward purchase commitments (3)		19,971		19,971		5,741		5,741

⁽¹⁾  Included in other investments on the consolidated balance sheets.

⁽²⁾  Included in derivative assets on the consolidated balance sheets.

⁽³⁾  Included in derivative liabilities on the consolidated balance sheets.