Collateral Positions (Tables)

6 Months Ended

Jun. 30, 2014

Schedule of fair value of collateral pledged and collateral held

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, 2014 and December 31, 2013:



	June 30, 2014				December 31, 2013
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	75,061	$	—	$	73,859	$	—
Cash (1)	52,630		—		37,520		—
	127,691		—		111,379		—
Repurchase Agreement Borrowings:
Agency MBS	$	6,074,987	$	—	$	6,068,447	$	—
Non-Agency MBS (2)(3)	3,698,181		—		3,663,523		—
U.S. Treasury securities	446,375		—		383,743		—
Cash (1)	1,800		—		—		—
	10,221,343		—		10,115,713		—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—	$	446,375	$	—	$	383,743
	—		446,375		—		383,743
Total	$	10,349,034	$	446,375	$	10,227,092	$	383,743

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

(2) Includes $1.955 billion and $1.885 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at June 30, 2014 and December 31, 2013, respectively, that are eliminated from the Company’s consolidated balance sheets.

(3) In addition, $732.6 million and $738.3 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, 2014 and December 31, 2013, 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 June 30, 2014:



	Assets Pledged Under Repurchase Agreements						Assets Pledged Against Derivative Hedging Instruments						Total Fair Value of Assets Pledged and Accrued Interest
(In Thousands)	Fair Value/ Carrying Value		Amortized Cost		Accrued Interest on Pledged MBS		Fair Value/ Carrying Value		Amortized Cost		Accrued Interest on Pledged MBS		Total Fair Value of Assets Pledged and Accrued Interest
U.S. Treasuries	$	446,375	$	446,375	$	—	$	—	$	—	$	—	$	446,375
Fannie Mae	$	5,078,914	$	5,003,625	$	12,803	$	6,679	$	6,448	$	14	$	5,098,410
Freddie Mac	996,073		1,000,380		2,498		58,423		58,949		138		1,057,132
Ginnie Mae	—		—		—		9,959		9,766		13		9,972
Agency MBS	$	6,074,987	$	6,004,005	$	15,301	$	75,061	$	75,163	$	165	$	6,165,514
Non-Agency MBS (1)(2)	$	3,698,181	$	2,770,398	$	13,282	$	—	$	—	$	—	$	3,711,463
Total	$	10,219,543	$	9,220,778	$	28,583	$	75,061	$	75,163	$	165	$	10,323,352

(1) Includes $1.955 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at June 30, 2014, that are eliminated from the Company’s consolidated balance sheets.

(2) In addition, $732.6 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, 2014.