Collateral Positions

The Company pledges securities or cash as collateral to its counterparties pursuant to its borrowings under repurchase agreements, certain of its Swap contracts that are not centrally cleared that are in an unrealized loss position and for initial margin payments on centrally cleared Swaps, and it receives securities or cash as collateral pursuant to financing provided under reverse repurchase agreements and certain of its Swap contracts that are not centrally cleared that are 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 and Swap contracts, as applicable. In connection with these margining practices, either the Company or its counterparty may be required to pledge cash or securities as collateral. 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, 2017 and December 31, 2016:



	March 31, 2017				December 31, 2016
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	31,125	$	—	$	32,468	$	—
Cash (1)	4,756		—		53,849		—
	35,881		—		86,317		—
Repurchase Agreement Borrowings:
Agency MBS	3,330,251		—		3,280,689		—
Legacy Non-Agency MBS (2)(3)	2,070,626		—		2,317,708		—
3 Year Step-up securities	2,376,119		—		2,574,691		—
U.S. Treasury securities	371,333		—		510,767		—
CRT securities	446,231		—		357,488		—
Residential whole loans	1,178,562		—		1,175,088		—
Other investments	93,002		—		85,800		—
Cash (1)	6,224		—		4,614		—
	9,872,348		—		10,306,845		—

FHLB Advances:
Agency MBS	—		—		227,244		—
	—		—		227,244		—

Reverse Repurchase Agreements:
U.S. Treasury securities	—		510,733		—		510,767
	—		510,733		—		510,767
Total	$	9,908,229	$	510,733	$	10,620,406	$	510,767

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

(2) At December 31, 2016 includes $172.4 million of Legacy Non-Agency MBS acquired in connection with resecuritization transactions from consolidated VIEs that are eliminated from the Company’s consolidated balance sheets.

(3) In addition, at March 31, 2017 and December 31, 2016, $687.8 million and $688.2 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 derivative hedging instruments at March 31, 2017:



	March 31, 2017
	Assets Pledged Under Repurchase Agreements						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	$	3,330,251	$	3,318,013	$	8,344	$	31,125	$	31,917	$	64	$	3,369,784
Legacy Non-Agency MBS (1)	2,070,626		1,668,418		7,726		—		—		—		2,078,352
3 Year Step-up securities	2,376,119		2,371,887		1,536		—		—		—		2,377,655
U.S. Treasuries	371,333		374,081		—		—		—		—		371,333
CRT securities	446,231		417,091		279		—		—		—		446,510
Residential whole loans (2)	1,178,562		1,163,416		3,861		—		—		—		1,182,423
Other investments	93,002		93,002		572		—		—		—		93,574
Cash (3)	6,224		6,224		—		4,756		4,756		—		10,980
Total	$	9,872,348	$	9,412,132	$	22,318	$	35,881	$	36,673	$	64	$	9,930,611


(1)	In addition, at March 31, 2017, $687.8 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.


(2)	Includes residential whole loans held at carrying value with an aggregate fair value of $433.5 million and aggregate amortized cost of $418.4 million and residential whole loans held at fair value with an aggregate fair value and amortized cost of $745.0 million.


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