Collateral Positions (Tables)

3 Months Ended

Mar. 31, 2018

Schedule of fair value of collateral pledged and collateral held

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 March 31, 2018 and December 31, 2017:



	March 31, 2018				December 31, 2017
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	16,244	$	—	$	21,756	$	—
Cash (1)	—		—		6,405		—
	16,244		—		28,161		—
Repurchase Agreement Borrowings:
Agency MBS	2,531,106		—		2,705,754		—
Legacy Non-Agency MBS (2)	1,897,016		—		1,652,983		—
RPL/NPL MBS	733,409		—		726,540		—
U.S. Treasury securities	220,814		—		472,095		—
CRT securities	590,551		—		595,900		—
MSR related assets	432,468		—		482,158		—
Residential whole loans	1,706,627		—		1,474,704		—
Cash (1)	7,100		—		6,902		—
	8,119,091		—		8,117,036		—
Reverse Repurchase Agreements:
U.S. Treasury securities	—		253,993		—		504,062
	—		253,993		—		504,062
Total	$	8,135,335	$	253,993	$	8,145,197	$	504,062

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

(2) In addition, at March 31, 2018 and December 31, 2017, $329.8 million and $688.1 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.

Schedule of additional information about assets Pledged as collateral pursuant to borrowings under repurchase agreements and Derivative Hedging Contracts

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, 2018:



	March 31, 2018
	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	$	2,531,106	$	2,559,275	$	6,693	$	16,244	$	17,097	$	34	$	2,554,077
Legacy Non-Agency MBS (1)	1,897,016		1,456,018		7,268		—		—		—		1,904,284
RPL/NPL MBS	733,409		731,571		576		—		—		—		733,985
U.S. Treasuries	220,814		—		—		—		—		—		220,814
CRT securities	590,551		538,092		488		—		—		—		591,039
MSR related assets	432,468		431,429		1,084		—		—		—		433,552
Residential whole loans (2)	1,706,627		1,676,218		5,655		—		—		—		1,712,282
Cash (3)	7,100		7,100		—		—		—		—		7,100
Total	$	8,119,091	$	7,399,703	$	21,764	$	16,244	$	17,097	$	34	$	8,157,133


(1)	In addition, at March 31, 2018, $329.8 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 $468.6 million and aggregate amortized cost of $438.2 million and residential whole loans held at fair value with an aggregate fair value and amortized cost of $1.2 billion.


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