NOTE 6. REPURCHASE AGREEMENTS

We have entered into repurchase agreements with large financial institutions to finance most of our MBS. The repurchase agreements are short-term borrowings that are secured by the market value of our MBS and bear fixed interest rates that have historically been based upon LIBOR. For additional information about repurchase agreements, see the section in Note 1 entitled “Repurchase Agreements.”

At June 30, 2017 and December 31, 2016, the repurchase agreements had the following balances (dollar amounts in thousands), weighted average interest rates and remaining weighted average maturities:

June 30, 2017


	Agency MBS				Non-Agency MBS				Total MBS
			Weighted				Weighted					Weighted
			Average				Average					Average
			Interest				Interest					Interest
	Balance		Rate		Balance		Rate		Balance			Rate
Overnight	$	—	—	%	$	—	—	%	$	—		—	%
Less than 30 days		2,265,000	1.20			381,779	2.66			2,646,779		1.41
30 days to 90 days		1,195,000	1.19			60,674	2.61			1,255,674		1.26
Over 90 days		—	—			—	—			—		—
Demand		—	—			—	—			—		—
	$	3,460,000	1.20	%	$	442,453	2.65	%	$	3,902,453		1.36	%
Weighted average maturity		27 days				17 days				26 days
Weighted average interest rate after adjusting for interest rate swaps										1.57	%
Weighted average maturity after adjusting for interest rate swaps										524 days
MBS pledged as collateral under the repurchase agreements and interest rate swaps	$	3,690,344			$	558,995			$	4,249,339

December 31, 2016


	Agency MBS				Non-Agency MBS				Total MBS
			Weighted				Weighted					Weighted
			Average				Average					Average
			Interest				Interest					Interest
	Balance		Rate		Balance		Rate		Balance			Rate
Overnight	$	—	—	%	$	—	—	%	$	—		—	%
Less than 30 days		1,405,000	0.85			411,015	2.27			1,816,015		1.17
30 days to 90 days		2,095,000	0.92			—	—			2,095,000		0.92
Over 90 days		—	—			—	—			—		—
Demand		—	—			—	—			—		—
	$	3,500,000	0.89	%	$	411,015	2.27	%	$	3,911,015		1.04	%
Weighted average maturity		39 days				17 days				37 days
Weighted average interest rate after adjusting for interest rate swaps										1.31	%
Weighted average maturity after adjusting for interest rate swaps										488 days
MBS pledged as collateral under the repurchase agreements and interest rate swaps	$	3,707,062			$	525,169			$	4,232,231

The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) only in the event of default on a contract. See Notes 1, 8, and 14 for more information on the Company’s interest rate swaps and other derivative instruments.


					Net Amounts of
					Assets		Gross Amounts Not Offset
	Gross Amounts				or Liabilities		in the Balance Sheets(1)
	of Recognized		Gross Amounts		Presented in				Cash
June 30, 2017	Assets or		Offset in the		the Balance		Financial		Collateral		Net
(in thousands)	Liabilities		Balance Sheets		Sheets		Instruments		Received		Amounts
Derivative assets at fair value(2)	$	7,273	$	—	$	7,273	$	(7,273)	$	—	$	—
Total	$	7,273	$	—	$	7,273	$	(7,273)	$	—	$	—
Repurchase agreements(3)	$	3,902,453	$	—	$	3,902,453	$	(3,902,453)	$	—	$	—
Derivative liabilities at fair value(2)		23,604		—		23,604		(23,604)		—		—
Total	$	3,926,057	$	—	$	3,926,057	$	(3,926,057)	$	—	$	—


					Net Amounts of
					Assets		Gross Amounts Not Offset
	Gross Amounts				or Liabilities		in the Balance Sheets(1)
	of Recognized		Gross Amounts		Presented in				Cash
December 31, 2016	Assets or		Offset in the		the Balance		Financial		Collateral		Net
(in thousands)	Liabilities		Balance Sheets		Sheets		Instruments		Received		Amounts
Derivative assets at fair value(2)	$	8,192	$	—	$	8,192	$	(8,192)	$	—	$	—
Total	$	8,192	$	—	$	8,192	$	(8,192)	$	—	$	—
Repurchase agreements(3)	$	3,911,015	$	—	$	3,911,015	$	(3,911,015)	$	—	$	—
Derivative liabilities at fair value(2)		34,302		—		34,302		(34,302)		—		—
Total	$	3,945,317	$	—	$	3,945,317	$	(3,945,317)	$	—	$	—

(1)

Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011‑11, as amended by ASU No. 2013‑01.

(2)

At June 30, 2017, we had pledged approximately $26.2 million in Agency MBS as collateral and paid another approximately $10.8 million on swap margin calls (included in “Restricted cash”) on our swap derivatives, which were approximately $7.3 million in derivative assets and approximately $20.8 million in derivative liabilities at June 30, 2017. At December 31, 2016, we had pledged approximately $22.1 million in Agency MBS as collateral and paid another approximately $12.4 million on swap margin calls on our swap derivatives, which were approximately $7.7 million in derivative assets and approximately $21 million in derivative liabilities at December 31, 2016.

(3)

At June 30, 2017, we had pledged approximately $3.7 billion in Agency MBS and approximately $559 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2016, we had pledged $3.7 billion in Agency MBS and approximately $525.2 million in Non-Agency MBS as collateral on our repurchase agreements.