Collateral Positions (Tables)

12 Months Ended

Dec. 31, 2012

Collateral Positions

Schedule of fair value of collateral pledged and collateral held

	December 31, 2012				December 31, 2011
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	68,915	$	—	$	117,687	$	—
Cash (1)	5,016		—		15,502		—
	73,931		—		133,189		—
Repurchase Agreement Borrowings:
Agency MBS	$	6,678,384	$	—	$	6,549,276	$	—
Non-Agency MBS (2)(3)	3,463,128		—		2,067,221		—
U.S. Treasury securities	408,833		—		306,401		—
	10,550,345		—		8,922,898		—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—	$	408,833	$	—	$	306,401
	—		408,833		—		306,401
Total	$	10,624,276	$	408,833	$	9,056,087	$	306,401

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

(2)  Includes $1.860 billion and $1.375 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at December 31, 2012 and December 31, 2011, respectively, that are eliminated from the Company’s consolidated balance sheet.

(3)  In addition, $759.2 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 December 31, 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

	Assets Pledged Under Repurchase Agreements						Assets 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
U.S. Treasuries	$	408,833	$	408,888	$	—	$	—	$	—	$	—	$	408,833
Fannie Mae	$	6,034,630	$	5,863,628	$	16,742	$	53,953	$	51,691	$	155	$	6,105,480
Freddie Mac	641,614		622,190		2,119		6,725		6,462		28		650,486
Ginnie Mae	2,140		2,082		3		8,237		7,954		13		10,393
Agency MBS	$	6,678,384	$	6,487,900	$	18,864	$	68,915	$	66,107	$	196	$	6,766,359
Rated AAA	$	23,572	$	22,838	$	82	$	—	$	—	$	—	$	23,654
Rated BBB	33,895		33,711		116		—		—		—		34,011
Rated BB	341,755		314,616		1,181		—		—		—		342,936
Rated B	101,519		88,307		319		—		—		—		101,838
Rated CCC	302,407		266,543		1,109		—		—		—		303,516
Rated CC	193,433		174,064		928		—		—		—		194,361
Rated C	140,866		125,547		598		—		—		—		141,464
Rated D	829,466		748,838		4,357		—		—		—		833,823
Not Rated	1,496,215		1,148,890		7,641		—		—		—		1,503,856
Non-Agency MBS(1) (2) (3)	$	3,463,128	$	2,923,354	$	16,331	$	—	$	—	$	—	$	3,479,459
Total	$	10,550,345	$	9,820,142	$	35,195	$	68,915	$	66,107	$	196	$	10,654,651

(1)  Includes $1.860 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at December 31, 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.

(3)  In addition, $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 December 31, 2012.