Repurchase Agreements

3 Months Ended

Mar. 31, 2017

The interest rates of the Company’s repurchase agreements are generally indexed to the one-month, three-month and twelve-month LIBOR rates and re-price accordingly. The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average daily balances and the fair value of collateral pledged as of March 31, 2017 and December 31, 2016 is:



	March 31, 2017			December 31, 2016
Repurchase agreements outstanding secured by:
Agency MBS (in thousands)	$	3,059,267		$	3,087,734
Non-agency MBS (in thousands)	2,791,937			2,513,169
Total:	$	5,851,204		$	5,600,903

Average balance of Repurchase agreements secured by:
Agency MBS (in thousands)	$	3,120,531		$	4,159,651
Non-agency MBS (in thousands)	2,679,610			2,322,683
Total:	$	5,800,141		$	6,482,334

Weighted average borrowing rate of Repurchase agreements secured by:
Agency MBS	0.95		%	0.90		%
Non-agency MBS	3.20		%	3.05		%

Weighted average maturity of Repurchase agreements secured by:
Agency MBS	23 Days			32 Days
Non-agency MBS	97 Days			98 Days

MBS pledged as collateral at fair value on Repurchase agreements:
Agency MBS (in thousands)	$	3,274,112		$	3,334,245
Non-agency MBS (in thousands)	3,996,503			3,699,621
Total:	$	7,270,615		$	7,033,866

At March 31, 2017 and December 31, 2016, the repurchase agreements collateralized by MBS had the following remaining maturities.



	March 31, 2017		December 31, 2016
	(dollars in thousands)
Overnight	$	—	$	—
1 to 29 days	3,743,094		2,947,604
30 to 59 days	1,107,093		958,956
60 to 89 days	320,551		407,625
90 to 119 days	40,223		559,533
Greater than or equal to 120 days	640,243		727,185
Total	$	5,851,204	$	5,600,903

At March 31, 2017, the Company did not have any amount at risk with its counterparties, that was greater than 10% of its equity related to the collateral posted on repurchase agreements. At December 31, 2016, the Company had an amount at risk with Nomura Securities Company Limited of 10% of its equity related to the collateral posted on repurchase agreements, the weighted average maturity of the repurchase agreements with Nomura Securities Company Limited was 104 days and the amount at risk was $320 million. There were no other amounts at risk with any other counterparties greater than 10% of the Company’s equity as of March 31, 2017 and December 31, 2016.