Collateral Positions

The Company pledges securities or cash as collateral to its counterparties pursuant to its borrowings under repurchase agreements and for initial margin payments on centrally cleared Swaps. In addition, the Company receives securities or cash as collateral pursuant to financing provided under reverse repurchase agreements. 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 and derivative hedging instruments at June 30, 2018 and December 31, 2017:



	June 30, 2018				December 31, 2017
(In Thousands)	Assets Pledged		Collateral Held		Assets Pledged		Collateral Held
Derivative Hedging Instruments:
Agency MBS	$	3,097	$	—	$	21,756	$	—
Cash (1)	—		—		6,405		—
	3,097		—		28,161		—
Repurchase Agreement Borrowings:
Agency MBS	2,283,312		—		2,705,754		—
Legacy Non-Agency MBS (2)	1,813,359		—		1,652,983		—
RPL/NPL MBS	634,073		—		726,540		—
U.S. Treasury securities	220,731		—		472,095		—
CRT securities	516,486		—		595,900		—
MSR related assets	381,390		—		482,158		—
Residential whole loans	1,382,068		—		1,474,704		—
Cash (1)	3,298		—		6,902		—
	7,234,717		—		8,117,036		—
Reverse Repurchase Agreements:
U.S. Treasury securities	—		253,721		—		504,062
	—		253,721		—		504,062
Total	$	7,237,814	$	253,721	$	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 June 30, 2018 and December 31, 2017, $320.3 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.

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 June 30, 2018:



	June 30, 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	$	2,283,312	$	2,318,975	$	6,281	$	3,097	$	3,242	$	8	$	2,292,698
Legacy Non-Agency MBS (1)	1,813,359		1,377,319		7,119		—		—		—		1,820,478
RPL/NPL MBS	634,073		633,223		502		—		—		—		634,575
U.S. Treasuries	220,731		—		—		—		—		—		220,731
CRT securities	516,486		475,568		451		—		—		—		516,937
MSR related assets	381,390		380,350		428		—		—		—		381,818
Residential whole loans (2)	1,382,068		1,349,191		4,898		—		—		—		1,386,966
Cash (3)	3,298		3,298		—		—		—		—		3,298
Total	$	7,234,717	$	6,537,924	$	19,679	$	3,097	$	3,242	$	8	$	7,257,501


(1)	In addition, at June 30, 2018, $320.3 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 $429.7 million and aggregate amortized cost of $396.9 million and residential whole loans held at fair value with an aggregate fair value and amortized cost of $952.3 million.


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