Subsequent Events

12 Months Ended

Dec. 31, 2011

Subsequent Events

Subsequent Events

16.  Subsequent Events

Financing transactions completed subsequent to year-end

(a)   Increase in collateralized financing

On January 12, 2012, the Company entered into an amendment of a financing arrangement involving certain repurchase and reverse repurchase agreements with one counterparty that were originally entered into contemporaneously as part of its financing strategy for Non-Agency MBS.  The amendment resulted in an increase in the amount of financing obtained of approximately $200 million, with no other changes to the terms of the arrangement.

(b)   Resecuritization of Non-Agency MBS

On February 9, 2012, as part of a resecuritization transaction, the Company sold an aggregate of $433.3 million in principal value of Non-Agency MBS to Wells Fargo Mortgage Loan Trust.  In connection with this transaction, third-party investors purchased $186.7 million of face amount of the fixed-rate Senior Bonds rated “AAA” by DBRS from the underlying trust and the Company acquired $38.7 million of face amount of two subordinate classes of Non-Agency MBS with DBRS ratings of “AA” and “A” and $207.9 million of face amount of non-rated subordinate Non-Agency MBS from the trust, which together provide credit support to the Senior Bonds and received $186.7 million in cash.  In connection with the transaction, the Company also acquired $186.7 million notional amount of non-rated variable rate, interest only senior certificates issued by the trust.  For financial reporting purposes, the underlying trust in this resecuritization transaction will be consolidated with the Company and, as such, no gain or loss will be recorded.