Rules FAQ
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If the losing opponent controls Theon Greyjoy, Reek is immediately sacrificed when that player takes control of him. However, the post-then part of the effect still resolves. 
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Reek himself is an eligible choice for the post-then part of the effect, so you may immediately take him back. If an attachment becomes illegally attached during this sequence (for instance, Attainted), it is discarded. 
