Collateral Positions (Tables)

12 Months Ended

Dec. 31, 2011

Collateral Positions

Schedule of fair value of collateral pledged and collateral held

	December 31, 2011					December 31, 2010
(In Thousands)	Assets Pledged			Collateral Held		Assets Pledged			Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	117,687		$	—	$	153,534		$	—
Cash(1)	15,502			—		35,083			—
	133,189			—		188,617			—
Repurchase Agreement Borrowings:
Agency MBS	$	6,549,276		$	—	$	5,366,345		$	—
Non-Agency MBS	2,067,221		(2)(3)	—		1,329,625		(2)	—
U.S. Treasury securities	306,401			—		—			—
Cash(1)	—			—		6,844			—
	8,922,898			—		6,702,814			—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—		$	306,401	$	—		$	—
	—			306,401		—			—
Total	$	9,056,087		$	306,401	$	6,891,431		$	—

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

(2)  Includes $1.375 billion and $462.0 million of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at December 31, 2011 and December 31, 2010, respectively, that are eliminated from the Company’s consolidated balance sheet.

(3)  In addition, $448.4 million of Non-Agency MBS 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 Swaps

	Assets Pledged Under Repurchase Agreements						Assets Pledged Against Derivative Hedging Instruments						Total Fair
(In Thousands)	Fair Value/ Carrying Value		Amortized Cost		Accrued Interest on Pledged MBS		Fair Value/ Carrying Value		Amortized Cost		Accrued Interest on Pledged MBS		Value of MBS Pledged and Accrued Interest
U.S. Treasuries	$	306,401	$	306,908	$	—	$	—	$	—	$	—	$	306,401
Fannie Mae	$	5,859,425	$	5,675,406	$	18,432	$	101,316	$	97,723	$	295	$	5,979,468
Freddie Mac	686,595		666,693		2,739		6,495		6,321		28		695,857
Ginnie Mae	3,256		3,209		6		9,876		9,650		19		13,157
Agency MBS	$	6,549,276	$	6,345,308	$	21,177	$	117,687	$	113,694	$	342	$	6,688,482
Rated AAA	8,739		8,913		44		—		—		—		8,783
Rated A	22,597		26,680		68		—		—		—		22,665
Rated BBB	4,693		5,041		27		—		—		—		4,720
Rated BB	293,784		291,862		1,202		—		—		—		294,986
Rated B	80,413		85,795		335		—		—		—		80,748
Rated CCC	167,157		173,816		832		—		—		—		167,989
Rated CC	66,365		64,961		322		—		—		—		66,687
Rated C	225,829		239,553		1,416		—		—		—		227,245
Rated D	152,953		162,314		1,255		—		—		—		154,208
Not Rated	1,044,691		1,066,794		8,091		—		—		—		1,052,782
Non-Agency MBS(1)	$	2,067,221	$	2,125,729	$	13,592	$	—	$	—	$	—	$	2,080,813
Total	$	8,922,898	$	8,777,945	$	34,769	$	117,687	$	113,694	$	342	$	9,075,696

(1)  Includes $1.375 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at December 31, 2011 that are eliminated from the Company’s consolidated balance sheet.