Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

Carrying Values and Fair Values of Assets and Liabilities

The carrying values and fair values of assets and liabilities that are required to be reported or disclosed at fair value as of September 30, 2015 and December 31, 2014 were as follows.

	September 30, 2015				December 31, 2014
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets
MBS	$	15,472,580	$	15,472,580	$	17,587,010	$	17,587,010
Mortgage loans held for investment		265,281		265,281		31,460		31,460
Mortgage loans held for sale		9,572		9,572		-		-
MSR		170,447		170,447		-		-
Cash and cash equivalents		711,148		711,148		627,595		627,595
Unsettled purchased MBS		65,834		65,834		24,792		24,792
Receivable for securities sold		51,729		51,729		5,197		5,197
Accrued interest receivable		47,563		47,563		54,274		54,274
Principal payments receivable		144,261		144,261		111,439		111,439
Debt security, held-to-maturity ⁽¹⁾		15,000		14,620		15,000		14,853
Short-term investments ⁽¹⁾		30,444		30,444		20,252		20,252
Interest rate swaps and swaptions ⁽²⁾		1,831		1,831		11,050		11,050
Forward purchase commitments ⁽²⁾		2,534		2,534		16,101		16,101
Liabilities
Repurchase agreements	$	14,240,809		14,240,809	$	15,759,831	$	15,759,831
Warehouse lines of credit		33,172		33,172		-		-
FHLB advances		14,132		14,132		-		-
Payable for unsettled securities		66,266		66,266		24,750		24,750
Accrued interest payable		2,533		2,533		6,968		6,968
Interest rate swap liability ⁽³⁾		22,964		22,964		42,052		42,052
Futures Contracts liability ⁽³⁾		394,221		394,221		202,501		202,501
Forward purchase commitments ⁽³⁾		1,736		1,736		38		38

⁽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.