Borrowings under Reverse Repurchase Agreements

The Company enters into reverse repurchase agreements. A reverse repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its reverse repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's reverse repurchase agreements typically range in term from 30 to 180 days. The principal economic terms of each reverse repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the reverse repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the reverse repurchase agreement at which time the Company may enter into a new reverse repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, reverse repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the reverse repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. The contractual amount (loan amount) of the Company's reverse repurchase agreements approximates their fair value, as the debt is short-term in nature.

At any given time, the Company seeks to have its outstanding borrowings under reverse repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under reverse repurchase agreements with nineteen counterparties as of September 30, 2015 and sixteen counterparties as of December 31, 2014.

At September 30, 2015, approximately 30% of open reverse repurchase agreements were with one counterparty. At December 31, 2014, approximately 23% of open reverse repurchase agreements were with one counterparty. As of September 30, 2015 remaining days to maturity on the Company's open reverse repurchase agreements ranged from 2 to 358 days and from 2 to 631 days as of December 31, 2014. Interest rates on the Company's open reverse repurchase agreements ranged from 0.36% to 2.69% as of September 30, 2015 and from (1.50)% to 2.42% as of December 31, 2014. The negative interest rate at December 31, 2014 was related to reverse repurchase agreements on U.S. Treasury securities.

The following table details the Company's outstanding borrowings under reverse repurchase agreements for Agency RMBS and Credit assets, which include non-Agency MBS, CLOs, consumer loans, and U.S. Treasury securities by remaining maturity as of September 30, 2015 and December 31, 2014:



(In thousands)	September 30, 2015					December 31, 2014
			Weighted Average					Weighted Average
Remaining Maturity	Outstanding Borrowings		Interest Rate		Remaining Days to Maturity	Outstanding Borrowings		Interest Rate		Remaining Days to Maturity
Agency RMBS:
30 Days or Less	$	389,834	0.45	%	14	$	537,624	0.34	%	16
31-60 Days	272,247		0.48	%	45	276,002		0.34	%	44
61-90 Days	290,038		0.49	%	72	251,715		0.38	%	72
91-120 Days	191,974		0.53	%	107	—		—	%	—
151-180 Days	1,746		1.06	%	173	48,161		0.44	%	164
181-360 Days	—		—	%	—	32,319		0.47	%	317
Total Agency RMBS	1,145,839		0.48	%	52	1,145,821		0.35	%	50
Credit:
30 Days or Less	23,119		1.57	%	17	53,939		1.94	%	22
31-60 Days	25,571		1.84	%	41	46,872		1.59	%	43
61-90 Days	21,250		1.94	%	68	37,561		1.47	%	65
91-120 Days	33,860		2.69	%	100	—		—	%	—
121-150 Days	4,106		1.70	%	145	21,236		2.03	%	139
151-180 Days	20,723		2.10	%	163	75,323		1.77	%	160
181-360 Days	98,326		2.47	%	344	15,449		1.65	%	181
>360 Days	—		—	%	—	149,601		2.41	%	631
Total Credit Assets	226,955		2.28	%	194	399,981		2.02	%	295
U.S. Treasury Securities:
30 Days or Less	—		—	%	—	123,631		(1.01	)%	2
Total U.S. Treasury Securities	—		—	%	—	123,631		(1.01	)%	2
Total	$	1,372,794	0.78	%	76	$	1,669,433	0.65	%	105

Reverse repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their original maturity dates even though such reverse repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. Not included above are reverse repurchase agreements that the Company may have entered into prior to period end for which delivery of the borrowed funds is not scheduled until after period end in the amount of $26.5 million and $50.1 million as of September 30, 2015 and December 31, 2014, respectively.

As of September 30, 2015 and December 31, 2014, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.55 billion and $1.93 billion, respectively. Collateral transferred under outstanding borrowings as of September 30, 2015 include investments in the amount of $14.9 million that were sold prior to period end but for which such sale had not yet settled. In addition the Company posted net cash collateral of $62.3 million and additional securities with a fair value of $6.4 million as of September 30, 2015 as a result of margin calls from various counterparties. Collateral transferred under outstanding borrowings as of December 31, 2014 include investments in the amount of $145.5 million that were sold prior to period end but for which such sale had not yet settled. In addition, the Company posted net cash collateral of $14.2 million and additional securities with a fair value of $12.5 million as of December 31, 2014 as a result of margin calls from various counterparties.