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Collateral Positions
 9 Months Ended
Sep. 30, 2018
Collateral Positions  
Collateral Positions
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 September 30, 2018 and December 31, 2017: 
 
 
September 30, 2018
 
December 31, 2017
(In Thousands)
 
Assets Pledged
 
Collateral Held
 
Assets Pledged
 
Collateral Held
Derivative Hedging Instruments:
 
 

 
 

 
 

 
 

Agency MBS
 
$
2,877

 
$
—

 
$
21,756

 
$
—

Cash (1)
 
—

 
—

 
6,405

 
—

 
 
2,877

 
—

 
28,161

 
—

Repurchase Agreement Borrowings:
 
 
 
 
 
 
 
 
Agency MBS
 
2,792,396

 
—

 
2,705,754

 
—

Legacy Non-Agency MBS (2)
 
2,075,540

 
—

 
1,652,983

 
—

RPL/NPL MBS
 
1,161,568

 
—

 
726,540

 
—

U.S. Treasury securities
 
—

 
—

 
472,095

 
—

CRT securities
 
504,931

 
—

 
595,900

 
—

MSR related assets
 
565,272

 
—

 
482,158

 
—

Residential whole loans (3)
 
1,888,445

 
—

 
1,474,704

 
—

Cash (1)
 
6,489

 
—

 
6,902

 
—

 
 
8,994,641

 
—

 
8,117,036

 
—

Reverse Repurchase Agreements:
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
—

 
—

 
—

 
504,062

 
 
—

 
—

 
—

 
504,062

Total
 
$
8,997,518

 
$
—

 
$
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 December 31, 2017 $688.1 million of Legacy Non-Agency MBS were pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty.
(3) At September 30, 2018 includes Non-Agency MBS with an aggregate fair value of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.

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 September 30, 2018:

 
 
September 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
 
Agency MBS
 
$
2,792,396

 
$
2,842,022

 
$
8,527

 
$
2,877

 
$
3,036

 
$
7

 
$
2,803,807

Legacy Non-Agency MBS
 
2,075,540

 
1,548,906

 
8,531

 
—

 
—

 
—

 
2,084,071

RPL/NPL MBS
 
1,161,568

 
1,162,829

 
984

 
—

 
—

 
—

 
1,162,552

CRT securities
 
504,931

 
472,217

 
436

 
—

 
—

 
—

 
505,367

MSR related assets
 
565,272

 
564,350

 
644

 
—

 
—

 
—

 
565,916

Residential whole loans (1)(2)
 
1,888,445

 
1,861,387

 
8,485

 
—

 
—

 
—

 
1,896,930

Cash (3)
 
6,489

 
6,489

 
—

 
—

 
—

 
—

 
6,489

Total
 
$
8,994,641

 
$
8,458,200

 
$
27,607

 
$
2,877

 
$
3,036

 
$
7

 
$
9,025,132



(1)
Includes residential whole loans held at carrying value with an aggregate fair value of $1.2 billion and aggregate amortized cost of $1.1 billion and residential whole loans held at fair value with an aggregate fair value and amortized cost of $685.1 million.
(2)
Includes Non-Agency MBS with an aggregate fair value and amortized cost of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
(3)
Cash pledged as collateral is reported as “Restricted cash” on the Company’s consolidated balance sheets.