XML 40 R29.htm IDEA: XBRL DOCUMENT v3.10.0.1
Collateral Positions (Tables)
 6 Months Ended
Jun. 30, 2018
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, 2018 and December 31, 2017: 
 
 
June 30, 2018
 
December 31, 2017
(In Thousands)
 
Assets Pledged
 
Collateral Held
 
Assets Pledged
 
Collateral Held
Derivative Hedging Instruments:
 
 

 
 

 
 

 
 

Agency MBS
 
$
3,097

 
$
—

 
$
21,756

 
$
—

Cash (1)
 
—

 
—

 
6,405

 
—

 
 
3,097

 
—

 
28,161

 
—

Repurchase Agreement Borrowings:
 
 
 
 
 
 
 
 
Agency MBS
 
2,283,312

 
—

 
2,705,754

 
—

Legacy Non-Agency MBS (2)
 
1,813,359

 
—

 
1,652,983

 
—

RPL/NPL MBS
 
634,073

 
—

 
726,540

 
—

U.S. Treasury securities
 
220,731

 
—

 
472,095

 
—

CRT securities
 
516,486

 
—

 
595,900

 
—

MSR related assets
 
381,390

 
—

 
482,158

 
—

Residential whole loans
 
1,382,068

 
—

 
1,474,704

 
—

Cash (1)
 
3,298

 
—

 
6,902

 
—

 
 
7,234,717

 
—

 
8,117,036

 
—

Reverse Repurchase Agreements:
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
—

 
253,721

 
—

 
504,062

 
 
—

 
253,721

 
—

 
504,062

Total
 
$
7,237,814

 
$
253,721

 
$
8,145,197

 
$
504,062

 
(1)  Cash pledged as collateral is reported as “Restricted cash” on the Company’s consolidated balance sheets.
(2)  In addition, at June 30, 2018 and December 31, 2017, $320.3 million and $688.1 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 derivative hedging instruments at June 30, 2018:

 
 
June 30, 2018
 
 
Assets Pledged Under Repurchase 
Agreements
 
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
 
$
2,283,312

 
$
2,318,975

 
$
6,281

 
$
3,097

 
$
3,242

 
$
8

 
$
2,292,698

Legacy Non-Agency MBS (1)
 
1,813,359

 
1,377,319

 
7,119

 
—

 
—

 
—

 
1,820,478

RPL/NPL MBS
 
634,073

 
633,223

 
502

 
—

 
—

 
—

 
634,575

U.S. Treasuries
 
220,731

 
—

 
—

 
—

 
—

 
—

 
220,731

CRT securities
 
516,486

 
475,568

 
451

 
—

 
—

 
—

 
516,937

MSR related assets
 
381,390

 
380,350

 
428

 
—

 
—

 
—

 
381,818

Residential whole loans (2)
 
1,382,068

 
1,349,191

 
4,898

 
—

 
—

 
—

 
1,386,966

Cash (3)
 
3,298

 
3,298

 
—

 
—

 
—

 
—

 
3,298

Total
 
$
7,234,717

 
$
6,537,924

 
$
19,679

 
$
3,097

 
$
3,242

 
$
8

 
$
7,257,501



(1)
In addition, at June 30, 2018, $320.3 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.
(2)
Includes residential whole loans held at carrying value with an aggregate fair value of $429.7 million and aggregate amortized cost of $396.9 million and residential whole loans held at fair value with an aggregate fair value and amortized cost of $952.3 million.
(3)
Cash pledged as collateral is reported as “Restricted cash” on the Company’s consolidated balance sheets.