Collateral Positions

9 Months Ended

Sep. 30, 2011

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.  The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated repurchase agreement borrowings 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, and derivative hedging instruments at September 30, 2011 and December 31, 2010:

	September 30, 2011					December 31, 2010
(In Thousands)	Assets Pledged			Collateral Held		Assets Pledged			Collateral Held
Derivative hedging instruments:
Agency MBS	$	146,380		$	—	$	153,534		$	—
Cash(1)	22,498			—		35,083			—
	168,878			—		188,617			—
Repurchase Agreement Borrowings:
Agency MBS	$	6,746,336		$	—	$	5,366,345		$	—
Non-Agency MBS	2,502,540		(2)	—		1,329,625		(2)	—
Cash(1)	—			—		6,844			—
	9,248,876			—		6,702,814			—
Total	$	9,417,754		$	—	$	6,891,431		$	—

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

(2) Includes $2.458 billion and $462.0 million of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2011, and December 31, 2010, respectively, that are eliminated from the Company’s consolidated balance sheet.

The following table presents detailed information about the Company’s MBS pledged as collateral pursuant to its borrowings under repurchase agreements and derivative hedging instruments at September 30, 2011:

	MBS Pledged Under Repurchase Agreements						MBS Pledged Against Derivative Hedging Instruments
(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 MBS Pledged and Accrued Interest
Fannie Mae	$	5,936,075	$	5,762,717	$	19,184	$	126,276	$	122,193	$	371	$	6,081,906
Freddie Mac	803,589		780,949		3,220		10,083		9,811		43		816,935
Ginnie Mae	6,672		6,557		13		10,021		9,780		22		16,728
Agency MBS	$	6,746,336	$	6,550,223	$	22,417	$	146,380	$	141,784	$	436	$	6,915,569
Rated AAA	$	120,542	$	114,951	$	482	$	—	$	—	$	—	$	121,024
Rated AA	50,178		48,108		203		—		—		—		50,381
Rated A	75,710		77,091		283		—		—		—		75,993
Rated BBB	51,358		49,390		230		—		—		—		51,588
Rated BB	44,969		43,715		212		—		—		—		45,181
Rated B	101,339		103,073		396		—		—		—		101,735
Rated CCC	251,051		248,095		1,113		—		—		—		252,164
Rated CC	200,823		197,199		954		—		—		—		201,777
Rated C	287,959		298,606		1,688		—		—		—		289,647
Rated D	224,788		221,214		1,412		—		—		—		226,200
Not Rated	1,093,823		1,072,979		7,590		—		—		—		1,101,413
Non-Agency MBS (1)	$	2,502,540	$	2,474,421	$	14,563	$	—	$	—	$	—	$	2,517,103
Total	$	9,248,876	$	9,024,644	$	36,980	$	146,380	$	141,784	$	436	$	9,432,672

(1) Includes $2.458 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2011, which are eliminated from the Company’s consolidated balance sheet.