The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps, futures contracts and currency forward contracts as of March 31, 2018 and December 31, 2017. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2017 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts is classified as due from counterparties on our condensed consolidated balance sheets.

Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of March 31, 2018 and December 31, 2017, we did not recognize any non-cash collateral held.



$ in thousands	As of
Collateral Pledged	March 31, 2018	December 31, 2017
Repurchase Agreements:
Agency RMBS ⁽¹⁾	11,546,380	11,788,765
CMBS	1,856,165	1,737,831
Non-Agency RMBS	1,110,185	1,143,373
GSE CRT	855,856	853,446
Total repurchase agreements collateral pledged	15,368,586	15,523,415
Secured Loans:
Agency RMBS	638,181	623,181
CMBS	1,278,714	1,304,315
Cash	2,000	—
Total secured loans collateral pledged	1,918,895	1,927,496
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts:
Agency RMBS ⁽²⁾	89,652	109,900
Cash	5,775	620
Total interest rate swaps, futures contracts and currency forward contracts collateral pledged	95,427	110,520
Total:
Mortgage-backed and GSE CRT securities ⁽¹⁾	17,375,133	17,560,811
Cash	7,775	620
Total collateral pledged	17,382,908	17,561,431

Collateral Held	March 31, 2018	December 31, 2017
Interest Rate Swaps:
Cash	27,553	7,327
Total collateral held	27,553	7,327

(1)

Includes pledged securities of $189.3 million sold but not settled as of March 31, 2018 that are recorded as investment related receivable on our condensed consolidated balance sheet. Securities associated with unsettled trades remain legally pledged until the related repurchase agreement is repaid. There were no securities pledged as collateral associated with unsettled trades as of December 31, 2017.

(2)

During the first quarter of 2018, we determined that the amount disclosed as Agency RMBS collateral pledged on our interest rate swaps was understated by $86.2 million in our report on Form 10-K as of December 31, 2017. We concluded that the error in the amount disclosed was immaterial. We have revised the total amount of pledged securities disclosed parenthetically on our condensed consolidated balance sheet as of December 31, 2017 presented in this report on Form 10-Q and within the table above.