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Collateral Positions
 6 Months Ended
Jun. 30, 2012
Collateral Positions  
Collateral Positions

8.                   Collateral Positions

 

The Company pledges securities or cash as collateral to its counterparties pursuant to its borrowings under repurchase agreements and its derivative contracts that are in an unrealized loss position, and it receives securities or cash as collateral pursuant to financing provided under reverse repurchase agreements and its derivative contracts in an unrealized gain position.  The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated repurchase and reverse repurchase agreements and derivative contracts, as applicable.  Through this margining process, either the Company or its counterparty may be required to pledge cash or securities as collateral.  When the Company’s pledged collateral exceeds the required margin, the Company may initiate a reverse margin call, at which time the counterparty may either return the excess collateral, or provide collateral to the Company in the form of cash or high-quality securities.

 

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, 2012 and December 31, 2011:

 

 

 

June 30, 2012

 

December 31, 2011

 

(In Thousands)

 

Assets Pledged

 

Collateral Held

 

Assets Pledged

 

Collateral Held

 

Derivative hedging instruments:

 

 

 

 

 

 

 

 

 

Agency MBS

 

$

95,247

 

$

—

 

$

117,687

 

$

—

 

Cash (1)

 

9,009

 

—

 

15,502

 

—

 

 

 

104,256

 

—

 

133,189

 

—

 

Repurchase Agreement Borrowings:

 

 

 

 

 

 

 

 

 

Agency MBS

 

$

6,374,852

 

$

—

 

$

6,549,276

 

$

—

 

Non-Agency MBS

 

2,928,001

(2)(3)

—

 

2,067,221

(2)(3)

—

 

U.S. Treasury securities

 

512,907

 

—

 

306,401

 

—

 

Cash (1)

 

—

 

—

 

—

 

—

 

 

 

9,815,760

 

—

 

8,922,898

 

—

 

Reverse Repurchase Agreements:

 

 

 

 

 

 

 

 

 

U.S. Treasury securities

 

$

—

 

$

512,907

 

$

—

 

$

306,401

 

 

 

—

 

512,907

 

—

 

306,401

 

Total

 

$

9,920,016

 

$

512,907

 

$

9,056,087

 

$

306,401

 

 

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

(2)  Includes $1.610 billion and $1.375 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at June 30, 2012 and December 31, 2011, respectively, that are eliminated from the Company’s consolidated balance sheet.

(3)  In addition, $763.4 million and $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 at June 30, 2012 and December 31, 2011, respectively.

 

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, 2012:

 

 

 

MBS Pledged Under Repurchase
Agreements

 

MBS Pledged Against Derivative
Hedging Instruments

 

Total Fair
Value of

 

(In Thousands)

 

Fair Value/
Carrying
Value

 

Amortized
Cost

 

Accrued
Interest on
Pledged
MBS

 

Fair Value/
Carrying
Value

 

Amortized
Cost

 

Accrued
Interest on
Pledged
MBS

 

MBS
Pledged and
Accrued
Interest

 

U.S. Treasury securities

 

$

512,907

 

$

511,241

 

$

—

 

$

—

 

$

—

 

$

—

 

$

512,907

 

Fannie Mae

 

$

5,719,487

 

$

5,551,799

 

$

17,338

 

$

76,524

 

$

73,696

 

$

219

 

$

5,813,568

 

Freddie Mac

 

650,162

 

627,388

 

2,498

 

9,176

 

8,862

 

38

 

661,874

 

Ginnie Mae

 

5,203

 

5,131

 

10

 

9,547

 

9,294

 

17

 

14,777

 

Agency MBS

 

$

6,374,852

 

$

6,184,318

 

$

19,846

 

$

95,247

 

$

91,852

 

$

274

 

$

6,490,219

 

Rated AAA

 

$

34,322

 

$

34,356

 

$

115

 

$

—

 

$

—

 

$

—

 

$

34,437

 

Rated A

 

20,895

 

23,493

 

63

 

—

 

—

 

—

 

20,958

 

Rated BBB

 

12,853

 

12,677

 

62

 

—

 

—

 

—

 

12,915

 

Rated BB

 

306,161

 

291,862

 

1,173

 

—

 

—

 

—

 

307,334

 

Rated B

 

89,690

 

90,086

 

332

 

—

 

—

 

—

 

90,022

 

Rated CCC

 

272,421

 

266,026

 

1,221

 

—

 

—

 

—

 

273,642

 

Rated CC

 

200,517

 

191,788

 

930

 

—

 

—

 

—

 

201,447

 

Rated C

 

296,214

 

294,976

 

1,592

 

—

 

—

 

—

 

297,806

 

Rated D

 

430,125

 

429,851

 

2,609

 

—

 

—

 

—

 

432,734

 

Not Rated

 

1,264,803

 

1,170,564

 

7,931

 

—

 

—

 

—

 

1,272,734

 

Non-Agency MBS (1)

 

$

2,928,001

 

$

2,805,679

 

$

16,028

 

$

—

 

$

—

 

$

—

 

$

2,944,029

 

Total

 

$

9,815,760

 

$

9,501,238

 

$

35,874

 

$

95,247

 

$

91,852

 

$

274

 

$

9,947,155

 

 

(1)  Includes $1.610 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at June 30, 2012, that are eliminated from the Company’s consolidated balance sheet.

(2)  Reported based on the lowest rating issued by a Rating Agency, if more than one rating is issued on the security, at the date presented.