Collateral Positions (Tables)

3 Months Ended

Mar. 31, 2014

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 March 31, 2014 and December 31, 2013:



	March 31, 2014				December 31, 2013
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	76,968	$	—	$	73,859	$	—
Cash (1)	26,139		—		37,520		—
	103,107		—		111,379		—
Repurchase Agreement Borrowings:
Agency MBS	$	6,327,835	$	—	$	6,068,447	$	—
Non-Agency MBS (2)(3)	3,711,997		—		3,663,523		—
U.S. Treasury securities	435,888		—		383,743		—
	10,475,720		—		10,115,713		—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—	$	435,888	$	—	$	383,743
	—		435,888		—		383,743
Total	$	10,578,827	$	435,888	$	10,227,092	$	383,743

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

(2) Includes $1.936 billion and $1.885 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at March 31, 2014 and December 31, 2013, respectively, that are eliminated from the Company’s consolidated balance sheets.

(3) In addition, $751.1 million and $738.3 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 March 31, 2014 and December 31, 2013, 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 March 31, 2014:



	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		Total Fair Value of Assets Pledged and Accrued Interest
U.S. Treasuries	$	435,888	$	435,888	$	—	$	—	$	—	$	—	$	435,888
Fannie Mae	$	5,328,922	$	5,281,673	$	13,620	$	7,360	$	7,086	$	15	$	5,349,917
Freddie Mac	998,913		1,014,954		2,542		59,289		60,642		143		1,060,887
Ginnie Mae	—		—		—		10,319		10,124		14		10,333
Agency MBS	$	6,327,835	$	6,296,627	$	16,162	$	76,968	$	77,852	$	172	$	6,421,137
Non-Agency MBS (1)(2)	$	3,711,997	$	2,824,533	$	13,803	$	—	$	—	$	—	$	3,725,800
Total	$	10,475,720	$	9,557,048	$	29,965	$	76,968	$	77,852	$	172	$	10,582,825

(1) Includes $1.936 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at March 31, 2014, that are eliminated from the Company’s consolidated balance sheets.

(2) In addition, $751.1 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 March 31, 2014.