Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

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 March 31, 2016 and December 31, 2015 were as follows.

	March 31, 2016				December 31, 2015
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets
MBS	$	12,045,571	$	12,045,571	$	14,302,230	$	14,302,230
Agency CRT securities		111,021		111,021		109,387		109,387
Mortgage loans held for investment		152,197		152,197		116,857		116,857
Mortgage loans held for investment in securitization trusts		209,418		209,418		226,908		226,908
Mortgage loans held for sale		25,919		25,919		17,542		17,542
MSR		316,176		316,176		269,926		269,926
Cash and cash equivalents		705,920		705,920		816,715		816,715
Unsettled purchased MBS		5,536		5,536		12,582		12,582
Receivable for securities sold		274,127		274,127		-		-
Accrued interest receivable		38,826		38,826		45,008		45,008
Principal payments receivable		91,476		91,476		108,201		108,201
Debt security, held-to-maturity ⁽¹⁾		15,000		14,477		15,000		14,871
Short-term investments ⁽¹⁾		30,447		30,447		30,327		30,327
Interest rate swaps and swaptions ⁽²⁾		6		6		2,031		2,031
Futures Contracts asset ⁽²⁾		-		-		693		693
Forward purchase commitments ⁽²⁾		20,201		20,201		190		190
Liabilities
Repurchase agreements	$	11,419,354		11,419,354	$	13,443,883	$	13,443,883
Warehouse lines of credit		63,615		63,615		60,096		60,096
FHLB advances		-		-		14,132		14,132
Collateralized borrowings in securitization trusts		60,550		60,550		57,611		57,611
Payable for unsettled securities		5,483		5,483		12,582		12,582
Accrued interest payable		3,052		3,052		4,938		4,938
Interest rate swap liability ⁽³⁾		11,440		11,440		6,802		6,802
Futures Contracts liability ⁽³⁾		407,842		407,842		286,058		286,058
Forward purchase commitments ⁽³⁾		-		-		32,373		32,373

⁽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.