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, 2014 and December 31, 2013:



	September 30, 2014				December 31, 2013
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	67,431	$	—	$	73,859	$	—
Cash (1)	35,351		—		37,520		—
	102,782		—		111,379		—
Repurchase Agreement Borrowings:
Agency MBS	$	5,698,202	$	—	$	6,068,447	$	—
Non-Agency MBS (2)(3)	3,454,698		—		3,663,523		—
U.S. Treasury securities	442,370		—		383,743		—
Cash (1)	8,400		—		—		—
	9,603,670		—		10,115,713		—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—	$	442,370	$	—	$	383,743
	—		442,370		—		383,743
Total	$	9,706,452	$	442,370	$	10,227,092	$	383,743

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

(2) Includes $1.276 billion and $1.885 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2014 and December 31, 2013, respectively, that are eliminated from the Company’s consolidated balance sheets.

(3) In addition, $736.8 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 September 30, 2014 and December 31, 2013, 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, 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	$	442,370	$	442,370	$	—	$	—	$	—	$	—	$	442,370
Fannie Mae	$	4,744,666	$	4,682,097	$	11,763	$	6,205	$	5,965	$	13	$	4,762,647
Freddie Mac	953,536		963,082		2,382		54,959		55,898		129		1,011,006
Ginnie Mae	—		—		—		6,267		6,144		9		6,276
Agency MBS	$	5,698,202	$	5,645,179	$	14,145	$	67,431	$	68,007	$	151	$	5,779,929
Non-Agency MBS (1)(2)	$	3,454,698	$	2,632,613	$	12,424	$	—	$	—	$	—	$	3,467,122
Total	$	9,595,270	$	8,720,162	$	26,569	$	67,431	$	68,007	$	151	$	9,689,421

(1) Includes $1.276 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at September 30, 2014, that are eliminated from the Company’s consolidated balance sheets.

(2) In addition, $736.8 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, 2014.