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 December 31, 2013 and 2012:



	December 31, 2013				December 31, 2012
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	73,859	$	—	$	68,915	$	—
Cash (1)	37,520		—		5,016		—
	111,379		—		73,931		—
Repurchase Agreement Borrowings:
Agency MBS	$	6,068,447	$	—	$	6,678,384	$	—
Non-Agency MBS (2)(3)	3,663,523		—		3,463,128		—
U.S. Treasury securities	383,743		—		408,833		—
	10,115,713		—		10,550,345		—
Reverse Repurchase Agreements:
U.S. Treasury securities	$	—	$	383,743	$	—	$	408,833
	—		383,743		—		408,833
Total	$	10,227,092	$	383,743	$	10,624,276	$	408,833

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

(2) Includes $1.885 billion and $1.860 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at December 31, 2013 and 2012, respectively, that are eliminated from the Company’s consolidated balance sheets.

(3) In addition, $738.3 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 December 31, 2013 and 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 December 31, 2013:



	Assets Pledged Under Repurchase Agreements						Assets Pledged Against Derivative Hedging Instruments						Total Fair Value of MBS 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 MBS Pledged and Accrued Interest
U.S. Treasuries	$	383,743	$	383,743	$	—	$	—	$	—	$	—	$	383,743
Fannie Mae	$	4,941,677	$	4,903,089	$	12,768	$	54,825	$	55,059	$	136	$	5,009,406
Freddie Mac	1,126,770		1,154,787		2,887		11,752		11,532		43		1,141,452
Ginnie Mae	—		—		—		7,282		7,095		11		7,293
Agency MBS	$	6,068,447	$	6,057,876	$	15,655	$	73,859	$	73,686	$	190	$	6,158,151
Rated AAA	$	14,389	$	14,062	$	50	$	—	$	—	$	—	$	14,439
Rated A	72,811		66,959		222		—		—		—		73,033
Rated BBB	65,272		55,828		226		—		—		—		65,498
Rated BB	75,523		64,098		223		—		—		—		75,746
Rated B	150,119		131,124		390		—		—		—		150,509
Rated CCC	387,346		326,517		1,362		—		—		—		388,708
Rated CC	85,219		72,065		319		—		—		—		85,538
Rated C	84,187		73,192		256		—		—		—		84,443
Rated D	1,046,134		925,621		4,954		—		—		—		1,051,088
Not Rated	1,682,523		1,125,014		6,425		—		—		—		1,688,948
Non-Agency MBS(1)(2)(3)	$	3,663,523	$	2,854,480	$	14,427	$	—	$	—	$	—	$	3,677,950
Total	$	10,115,713	$	9,296,099	$	30,082	$	73,859	$	73,686	$	190	$	10,219,844

(1) Includes $1.885 billion of Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at December 31, 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, $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 December 31, 2013.