Collateral Positions (Tables)

9 Months Ended

Sep. 30, 2015

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, derivative hedging instruments and FHLB advances at September 30, 2015 and December 31, 2014:



	September 30, 2015				December 31, 2014
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	42,994	$	—	$	57,247	$	—
Cash (1)	109,223		—		66,486		—
	152,217		—		123,733		—
Repurchase Agreement Borrowings:
Agency MBS	4,373,565		—		5,462,566		—
Legacy Non-Agency MBS (2)(3)	2,974,878		—		3,491,312		—
RPL/NPL MBS	2,487,168		—		160,688		—
U.S. Treasury securities	508,838		—		512,105		—
CRT securities	118,616		—		94,610		—
Residential whole loans	595,503		—		212,986		—
Cash (1)	774		—		769		—
	11,059,342		—		9,935,036		—

FHLB Advances:
Agency MBS	285,878		—		—		—
	285,878		—		—		—

Reverse Repurchase Agreements:
U.S. Treasury securities	—		508,838		—		512,105
	—		508,838		—		512,105
Total	$	11,497,437	$	508,838	$	10,058,769	$	512,105

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

(2) Includes $588.6 million and $1.275 billion of Legacy Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2015 and December 31, 2014, respectively, that are eliminated from the Company’s consolidated balance sheets.

(3) In addition, at September 30, 2015 and December 31, 2014, $732.7 million and $731.0 million of Legacy Non-Agency MBS, respectively, are pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty.

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 other advances, and derivative hedging instruments at September 30, 2015:



	September 30, 2015
	Assets Pledged Under Repurchase Agreements and Other Advances						Assets Pledged Against Derivative Hedging Instruments						Total Fair Value of Assets Pledged and Accrued Interest
(In Thousands)	Fair Value		Amortized Cost		Accrued Interest on Pledged Assets		Fair Value/ Carrying Value		Amortized Cost		Accrued Interest on Pledged Assets		Total Fair Value of Assets Pledged and Accrued Interest
Agency MBS (1)	$	4,659,443	$	4,599,795	$	10,863	$	42,994	$	43,439	$	88	$	4,713,388
Legacy Non-Agency MBS (2)(3)	2,974,878		2,395,645		10,789		—		—		—		2,985,667
RPL/NPL MBS	2,487,168		2,489,964		1,424		—		—		—		2,488,592
U.S. Treasuries	508,838		508,838		—		—		—		—		508,838
CRT securities	118,616		120,232		84		—		—		—		118,700
Residential whole loans	595,503		587,928		1,394		—		—		—		596,897
Cash (4)	774		774		—		109,223		109,223		—		109,997
Total	$	11,345,220	$	10,703,176	$	24,554	$	152,217	$	152,662	$	88	$	11,522,079


(1)	Includes Agency MBS pledged under FHLB advances with an aggregate fair value of $285.9 million, aggregate amortized cost of $281.8 million and aggregate accrued interest of approximately $716,000 at September 30, 2015.


(2)	Includes $588.6 million of Legacy Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2015, that are eliminated from the Company’s consolidated balance sheets.


(3)	In addition, at September 30, 2015, $732.7 million of Legacy Non-Agency MBS are pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty.


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