Collateral Positions

The Company pledges securities or cash as collateral to its counterparties pursuant to its borrowings under repurchase agreements and its derivative contracts that are in an unrealized loss position, and it receives securities or cash as collateral pursuant to financing provided under reverse repurchase agreements and certain of its derivative contracts in an unrealized gain position. The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated repurchase and reverse repurchase agreements 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. In addition, Swaps novated to and cleared by a central clearing house are subject to initial margin requirements. 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, reverse repurchase agreements and derivative hedging instruments at September 30, 2013 and December 31, 2012:



	September 30, 2013				December 31, 2012
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	67,255	$	—	$	68,915	$	—
Cash (1)	59,275		—		5,016		—
	126,530		—		73,931		—
Repurchase Agreement Borrowings:
Agency MBS	$	6,215,474	$	—	$	6,678,384	$	—
Non-Agency MBS (2)(3)	3,721,195		—		3,463,128		—
U.S. Treasury securities	252,796		—		408,833		—
	10,189,465		—		10,550,345		—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—	$	252,796	$	—	$	408,833
	—		252,796		—		408,833
Total	$	10,315,995	$	252,796	$	10,624,276	$	408,833

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

(2) Includes $1.883 billion and $1.860 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2013 and December 31, 2012, respectively, that are eliminated from the Company’s consolidated balance sheets.

(3) In addition, $742.9 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 September 30, 2013 and December 31, 2012, respectively.

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 September 30, 2013:



	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	$	252,796	$	252,796	$	—	$	—	$	—	$	—	$	252,796
Fannie Mae	$	5,045,758	$	4,986,669	$	13,209	$	47,530	$	47,091	$	121	$	5,106,618
Freddie Mac	1,167,765		1,182,485		3,013		12,284		12,061		45		1,183,107
Ginnie Mae	1,951		1,921		3		7,441		7,236		12		9,407
Agency MBS	$	6,215,474	$	6,171,075	$	16,225	$	67,255	$	66,388	$	178	$	6,299,132
Rated AAA	$	15,940	$	15,557	$	55	$	—	$	—	$	—	$	15,995
Rated AA	52,894		48,270		173		—		—		—		53,067
Rated A	55,805		49,465		182		—		—		—		55,987
Rated BBB	82,555		74,071		272		—		—		—		82,827
Rated BB	75,162		64,193		227		—		—		—		75,389
Rated B	150,637		133,201		406		—		—		—		151,043
Rated CCC	398,408		342,294		1,457		—		—		—		399,865
Rated CC	94,122		80,288		352		—		—		—		94,474
Rated C	85,490		75,362		266		—		—		—		85,756
Rated D	1,081,697		978,365		5,354		—		—		—		1,087,051
Not Rated	1,628,485		1,131,043		6,657		—		—		—		1,635,142
Non-Agency MBS (1)(2)(3)	$	3,721,195	$	2,992,109	$	15,401	$	—	$	—	$	—	$	3,736,596
Total	$	10,189,465	$	9,415,980	$	31,626	$	67,255	$	66,388	$	178	$	10,288,524

(1) Includes $1.883 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2013, that are eliminated from the Company’s consolidated balance sheets.

(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, $742.9 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 September 30, 2013.