Collateral Positions (Tables)

6 Months Ended

Jun. 30, 2013

Collateral Positions

Schedule of fair value of collateral pledged and collateral held

The following table summarizes the fair value of the Company’s collateral positions, which includes collateral pledged and collateral held, with respect to its borrowings under repurchase agreements, reverse repurchase agreements and derivative hedging instruments at June 30, 2013 and December 31, 2012:

	June 30, 2013				December 31, 2012
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	41,264	$	—	$	68,915	$	—
Cash (1)	3,020		—		5,016		—
	44,284		—		73,931		—
Repurchase Agreement Borrowings:
Agency MBS	$	6,443,433	$	—	$	6,678,384	$	—
Non-Agency MBS (2)(3)	3,906,157		—		3,463,128		—
U.S. Treasury securities	405,458		—		408,833		—
	10,755,048		—		10,550,345		—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—	$	405,458	$	—	$	408,833
	—		405,458		—		408,833
Total	$	10,799,332	$	405,458	$	10,624,276	$	408,833

(1)  Cash pledged as collateral is reported as “restricted cash” on the Company’s consolidated balance sheet.

(2)  Includes $1.935 billion and $1.860 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at June 30, 2013 and December 31, 2012, respectively, that are eliminated from the Company’s consolidated balance sheet.

(3)  In addition, $740.0 million and $759.2 million of Non-Agency MBS are pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty at June 30, 2013 and December 31, 2012, respectively.

Schedule of additional information about assets Pledged as collateral pursuant to borrowings under repurchase agreements and Derivative Hedging Contracts

The following table presents detailed information about the Company’s assets pledged as collateral pursuant to its borrowings under repurchase agreements and derivative hedging instruments at June 30, 2013:

	Assets Pledged Under Repurchase  Agreements						Assets Pledged Against Derivative Hedging Instruments						Total Fair Value of Assets Pledged and Accrued Interest
(In Thousands)	Fair Value/  Carrying  Value		Amortized Cost		Accrued  Interest on Pledged  MBS		Fair Value/  Carrying  Value		Amortized Cost		Accrued  Interest on  Pledged  MBS
U.S. Treasuries	$	405,458	$	405,458	$	—	$	—	$	—	$	—	$	405,458
Fannie Mae	$	5,261,649	$	5,214,739	$	14,091	$	29,328	$	28,350	$	82	$	5,305,150
Freddie Mac	1,176,891		1,190,698		3,178		4,184		4,033		17		1,184,270
Ginnie Mae	4,893		4,770		7		7,752		7,503		12		12,664
Agency MBS	$	6,443,433	$	6,410,207	$	17,276	$	41,264	$	39,886	$	111	$	6,502,084
Rated AAA	$	18,629	$	18,184	$	64	$	—	$	—	$	—	$	18,693
Rated BBB	31,020		30,790		104		—		—		—		31,124
Rated BB	332,903		298,848		1,083		—		—		—		333,986
Rated B	152,221		135,456		412		—		—		—		152,633
Rated CCC	366,903		318,387		1,307		—		—		—		368,210
Rated CC	143,955		130,633		644		—		—		—		144,599
Rated C	94,060		83,385		314		—		—		—		94,374
Rated D	1,178,816		1,057,747		5,928		—		—		—		1,184,744
Not Rated	1,587,650		1,143,461		7,517		—		—		—		1,595,167
Non-Agency MBS (1)(2)(3)	$	3,906,157	$	3,216,891	$	17,373	$	—	$	—	$	—	$	3,923,530
Total	$	10,755,048	$	10,032,556	$	34,649	$	41,264	$	39,886	$	111	$	10,831,072

(1)  Includes $1.935 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at June 30, 2013, that are eliminated from the Company’s consolidated balance sheet.

(2)  Reported based on the lowest rating issued by a Rating Agency, if more than one rating is issued on the security, at the date presented.

(3) In addition, $740.0 million of Non-Agency MBS are pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty at June 30, 2013.