XML 41 R30.htm IDEA: XBRL DOCUMENT v3.5.0.2
Collateral Positions (Tables)
 9 Months Ended
Sep. 30, 2016
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, derivative hedging instruments and FHLB advances at September 30, 2016 and December 31, 2015: 
 
 
September 30, 2016
 
December 31, 2015
(In Thousands)
 
Assets Pledged
 
Collateral Held
 
Assets Pledged
 
Collateral Held
Derivative Hedging Instruments:
 
 

 
 

 
 

 
 

Agency MBS
 
$
34,469

 
$
—

 
$
38,569

 
$
—

Cash (1)
 
115,487

 
—

 
70,573

 
—

 
 
149,956

 
—

 
109,142

 
—

Repurchase Agreement Borrowings:
 
 
 
 

 
 

 
 

Agency MBS
 
3,521,966

 
—

 
2,881,049

 
—

Legacy Non-Agency MBS (2)(3)
 
2,545,212

 
—

 
2,818,968

 
—

3 Year Step-up securities
 
2,523,227

 
—

 
2,625,866

 
—

U.S. Treasury securities
 
506,182

 
—

 
507,443

 
—

CRT securities
 
320,852

 
—

 
170,352

 
—

Residential whole loans
 
896,946

 
—

 
684,136

 
—

Cash (1)
 
7,169

 
—

 
965

 
—

 
 
10,321,554

 
—

 
9,688,779

 
—

 
 
 
 
 
 
 
 
 
FHLB Advances:
 
 
 
 
 
 
 
 
Agency MBS
 
227,478

 
—

 
1,612,476

 
—

 
 
227,478

 
—

 
1,612,476

 
—

 
 
 
 
 
 
 
 
 
Reverse Repurchase Agreements:
 
 

 
 

 
 

 
 

U.S. Treasury securities
 
—

 
506,182

 
—

 
507,443

 
 
—

 
506,182

 
—

 
507,443

Total
 
$
10,698,988

 
$
506,182

 
$
11,410,397

 
$
507,443

 
(1)  Cash pledged as collateral is reported as “Restricted cash” on the Company’s consolidated balance sheets.
(2)  Includes $186.4 million and $570.5 million of Legacy Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2016 and December 31, 2015, respectively, that are eliminated from the Company’s consolidated balance sheets.
(3)  In addition, at September 30, 2016 and December 31, 2015, $691.1 million and $726.7 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, 2016:
 
 
September 30, 2016
 
 
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
 
Agency MBS (1)
 
$
3,749,444

 
$
3,706,053

 
$
9,068

 
$
34,469

 
$
34,503

 
$
69

 
$
3,793,050

Legacy Non-Agency MBS (2)(3)
 
2,545,212

 
2,030,320

 
9,341

 
—

 
—

 
—

 
2,554,553

3 Year Step-up securities
 
2,523,227

 
2,515,488

 
1,841

 
—

 
—

 
—

 
2,525,068

U.S. Treasuries
 
506,182

 
506,182

 
—

 
—

 
—

 
—

 
506,182

CRT securities
 
320,852

 
301,848

 
197

 
—

 
—

 
—

 
321,049

Residential whole loans (4)
 
896,946

 
891,835

 
2,216

 
—

 
—

 
—

 
899,162

Cash (5)
 
7,169

 
7,169

 
—

 
115,487

 
115,487

 
—

 
122,656

Total
 
$
10,549,032

 
$
9,958,895

 
$
22,663

 
$
149,956

 
$
149,990

 
$
69

 
$
10,721,720


(1)
Includes Agency MBS pledged under FHLB advances with an aggregate fair value of $227.5 million, aggregate amortized cost of $224.1 million and aggregate accrued interest of approximately $590,000 at September 30, 2016.
(2)
Includes $186.4 million of Legacy Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2016, that are eliminated from the Company’s consolidated balance sheets.
(3)
In addition, at September 30, 2016, $691.1 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)
Includes residential whole loans held at carrying value with an aggregate fair value of $278.5 million and aggregate amortized cost of $273.4 million and residential whole loans held at fair value with an aggregate fair value and amortized cost of $618.4 million.
(5)
Cash pledged as collateral is reported as “Restricted cash” on the Company’s consolidated balance sheets.