Collateral Positions (Tables)

3 Months Ended

Mar. 31, 2013

Collateral Positions

Schedule of fair value of collateral pledged and collateral held

	March 31, 2013				December 31, 2012
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	57,119	$	—	$	68,915	$	—
Cash (1)	5,017		—		5,016		—
	62,136		—		73,931		—
Repurchase Agreement Borrowings:
Agency MBS	$	6,682,380	$	—	$	6,678,384	$	—
Non-Agency MBS (2)(3)	3,817,527		—		3,463,128		—
U.S. Treasury securities	408,118		—		408,833		—
	10,908,025		—		10,550,345		—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—	$	408,118	$	—	$	408,833
	—		408,118		—		408,833
Total	$	10,970,161	$	408,118	$	10,624,276	$	408,833

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

(2)  Includes $1.966 billion and $1.860 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at March 31, 2013 and December 31, 2012, respectively, that are eliminated from the Company’s consolidated balance sheet.

(3)  In addition, $761.7 million and $759.2 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 March 31, 2013 and December 31, 2012, respectively.

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 March 31, 2013:

	Assets Pledged Under Repurchase  Agreements						Assets 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		Assets  Pledged and  Accrued  Interest
U.S. Treasuries	$	408,118	$	408,118	$	—	$	—	$	—	$	—	$	408,118
Fannie Mae	$	5,720,377	$	5,571,620	$	15,488	$	44,598	$	42,786	$	129	$	5,780,592
Freddie Mac	959,883		943,334		2,719		4,405		4,220		18		967,025
Ginnie Mae	2,120		2,062		3		8,116		7,837		13		10,252
Agency MBS	$	6,682,380	$	6,517,016	$	18,210	$	57,119	$	54,843	$	160	$	6,757,869
Rated AAA	$	21,352	$	20,621	$	74	$	—	$	—	$	—	$	21,426
Rated BBB	32,546		31,902		108		—		—		—		32,654
Rated BB	350,926		313,831		1,156		—		—		—		352,082
Rated B	99,753		82,188		297		—		—		—		100,050
Rated CCC	360,821		309,280		1,304		—		—		—		362,125
Rated CC	210,485		183,877		970		—		—		—		211,455
Rated C	134,328		120,472		550		—		—		—		134,878
Rated D	1,003,800		883,150		5,086		—		—		—		1,008,886
Not Rated	1,603,516		1,152,991		7,613		—		—		—		1,611,129
Non-Agency MBS (1) (2)(3)	$	3,817,527	$	3,098,312	$	17,158	$	—	$	—	$	—	$	3,834,685
Total	$	10,908,025	$	10,023,446	$	35,368	$	57,119	$	54,843	$	160	$	11,000,672

(1)  Includes $1.966 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at March 31, 2013, 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.

(3) In addition, $761.7 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 March 31, 2013.