To Be Announced RMBS

In addition to investing in pools of Agency RMBS, the Company transacts in the forward settling To Be Announced MBS ("TBA") market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are liquid and have quoted market prices and represent the most actively traded class of MBS. The Company uses TBAs primarily for hedging purposes, typically in the form of short positions. However, the Company may also invest in TBAs for speculative purposes, including holding long positions. Overall, the Company typically holds a net short position.

The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. The fair value of the Company's positions in long TBA contracts are reflected on the Schedule of Investments under TBA - Fixed Rate Agency Securities and the fair value of the Company's positions in TBA contracts sold short are reflected on the Schedule of Investments under TBA - Fixed Rate Agency Securities Sold Short. The payables and receivables related to the Company's TBA securities are included on the Consolidated Statement of Assets, Liabilities, and Equity in Payable for securities purchased and Receivable for securities sold, respectively.

The below table details TBA assets, liabilities, and the respective related payables and receivables as of September 30, 2014 and December 31, 2013:



	As of
	September 30, 2014			December 31, 2013
Assets:	(In thousands)
TBA securities, at fair value (Current principal: $112,448 and $101,150, respectively)	$	111,624		$	96,856
Receivable for securities sold relating to unsettled TBA sales	1,158,168			813,933
Liabilities:
TBA securities sold short, at fair value (Current principal: -$1,101,218 and -$784,888, respectively)	$	(1,158,892	)	$	(811,957	)
Payable for securities purchased relating to unsettled TBA purchases	(112,286		)	(96,762		)
Net short TBA securities, at fair value	(1,047,268		)	(715,101		)