Collateral Positions (Tables)

6 Months Ended

Jun. 30, 2012

Collateral Positions

Schedule of fair value of collateral pledged and collateral held

	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.

Schedule of additional information about assets Pledged as collateral pursuant to borrowings under repurchase agreements and Derivative Hedging Contracts

	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.