XML 81 R66.htm IDEA: XBRL DOCUMENT v3.3.1.900
Collateral Positions (Details) - USD ($)
$ in Thousands
Dec. 31, 2015
Dec. 31, 2014
Collateral Positions    
Assets pledged $ 11,410,397 $ 10,058,769
Collateral Held 507,443 512,105
Derivative Hedging Instruments    
Collateral Positions    
Assets pledged 109,142 123,733
Collateral Held 0 0
Derivative Hedging Instruments | Agency MBS    
Collateral Positions    
Assets pledged 38,569 57,247
Collateral Held 0 0
Derivative Hedging Instruments | Cash    
Collateral Positions    
Assets pledged [1] 70,573 66,486
Collateral Held [1] 0 0
Repurchase Agreement Borrowings    
Collateral Positions    
Assets pledged 9,688,779 9,935,036
Collateral Held 0 0
Repurchase Agreement Borrowings | Agency MBS    
Collateral Positions    
Assets pledged 2,881,049 5,462,566
Collateral Held 0 0
Repurchase Agreement Borrowings | Legacy Non-Agency MBS    
Collateral Positions    
Assets pledged [2],[3] 2,818,968 3,491,312
Collateral Held [2],[3] 0 0
Repurchase Agreement Borrowings | RPL/NPL MBS    
Collateral Positions    
Assets pledged 2,625,866 160,688
Collateral Held 0 0
Repurchase Agreement Borrowings | Non-Agency MBS    
Collateral Positions    
Non-Agency MBS acquired from consolidated VIEs 570,500 1,275,000
Non-Agency MBS pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty 726,700 731,000
Repurchase Agreement Borrowings | U.S. Treasury securities    
Collateral Positions    
Assets pledged 507,443 512,105
Collateral Held 0 0
Repurchase Agreement Borrowings | CRT securities    
Collateral Positions    
Assets pledged 170,352 94,610
Collateral Held 0 0
Repurchase Agreement Borrowings | Residential whole loans    
Collateral Positions    
Assets pledged 684,136 212,986
Collateral Held 0 0
Repurchase Agreement Borrowings | Cash    
Collateral Positions    
Assets pledged [1] 965 769
Collateral Held [1] 0 0
Federal Home Loan Bank Advances    
Collateral Positions    
Assets pledged 1,612,476 0
Collateral Held 0 0
Federal Home Loan Bank Advances | Agency MBS    
Collateral Positions    
Assets pledged 1,612,476 0
Collateral Held 0 0
Reverse Repurchase Agreements    
Collateral Positions    
Assets pledged 0 0
Collateral Held 507,443 512,105
Reverse Repurchase Agreements | U.S. Treasury securities    
Collateral Positions    
Assets pledged 0 0
Collateral Held $ 507,443 $ 512,105
[1] Cash pledged as collateral is reported as “Restricted cash” on the Company’s consolidated balance sheets.
[2] In addition, at December 31, 2015 and 2014, $726.7 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.
[3] Includes $570.5 million and $1.275 billion of Legacy Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at December 31, 2015 and 2014, respectively, that are eliminated from the Company’s consolidated balance sheets.