Collateral Positions

The Company pledges securities or cash as collateral to its counterparties pursuant to its borrowings under repurchase agreements, FHLB advances 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 agreements, FHLB advances 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 equivalent 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, derivative hedging instruments and FHLB advances at March 31, 2016 and December 31, 2015:



	March 31, 2016				December 31, 2015
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	36,927	$	—	$	38,569	$	—
Cash (1)	118,264		—		70,573		—
	155,191		—		109,142		—
Repurchase Agreement Borrowings:
Agency MBS	2,994,028		—		2,881,049		—
Legacy Non-Agency MBS (2)(3)	2,692,830		—		2,818,968		—
RPL/NPL MBS	2,496,165		—		2,625,866		—
U.S. Treasury securities	513,409		—		507,443		—
CRT securities	196,350		—		170,352		—
Residential whole loans	815,745		—		684,136		—
Cash (1)	5,412		—		965		—
	9,713,939		—		9,688,779		—

FHLB Advances:
Agency MBS	1,286,203		—		1,612,476		—
	1,286,203		—		1,612,476		—

Reverse Repurchase Agreements:
U.S. Treasury securities	—		513,409		—		507,443
	—		513,409		—		507,443
Total	$	11,155,333	$	513,409	$	11,410,397	$	507,443

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

(2) Includes $185.9 million and $570.5 million of Legacy Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at March 31, 2016 and December 31, 2015, respectively, that are eliminated from the Company’s consolidated balance sheets.

(3) In addition, at March 31, 2016 and December 31, 2015, $675.5 million and $726.7 million of Legacy Non-Agency MBS, respectively, are pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty.

The following table presents detailed information about the Company’s assets pledged as collateral pursuant to its borrowings under repurchase agreements and other advances, and derivative hedging instruments at March 31, 2016:



	March 31, 2016
	Assets Pledged Under Repurchase Agreements and Other Advances						Assets Pledged Against Derivative Hedging Instruments						Total Fair Value of Assets Pledged and Accrued Interest
(In Thousands)	Fair Value		Amortized Cost		Accrued Interest on Pledged Assets		Fair Value/ Carrying Value		Amortized Cost		Accrued Interest on Pledged Assets		Total Fair Value of Assets Pledged and Accrued Interest
Agency MBS (1)	$	4,280,231	$	4,241,609	$	10,111	$	36,927	$	37,174	$	75	$	4,327,344
Legacy Non-Agency MBS (2)(3)	2,692,830		2,272,910		9,961		—		—		—		2,702,791
RPL/NPL MBS	2,496,165		2,513,829		1,393		—		—		—		2,497,558
U.S. Treasuries	513,409		513,409		—		—		—		—		513,409
CRT securities	196,350		196,695		176		—		—		—		196,526
Residential whole loans	815,745		798,377		1,609		—		—		—		817,354
Cash (4)	5,412		5,412		—		118,264		118,264		—		123,676
Total	$	11,000,142	$	10,542,241	$	23,250	$	155,191	$	155,438	$	75	$	11,178,658


(1)	Includes Agency MBS pledged under FHLB advances with an aggregate fair value of $1.286 billion, aggregate amortized cost of $1.275 billion and aggregate accrued interest of approximately $3.1 million at March 31, 2016.


(2)	Includes $185.9 million of Legacy Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs at March 31, 2016, that are eliminated from the Company’s consolidated balance sheets.


(3)	In addition, at March 31, 2016, $675.5 million of Legacy Non-Agency MBS are pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty.


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