Borrowings under Reverse Repurchase Agreements and Securitized Debt

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, although the Company also has reverse repurchase agreements that provide for longer or shorter terms. 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 for most reverse repurchase agreements, interest is generally 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. Some reverse repurchase agreements provide for periodic payments of interest, such as monthly payments. 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 twenty counterparties as of September 30, 2016 and eighteen counterparties as of December 31, 2015.

At September 30, 2016, approximately 16% of open reverse repurchase agreements were with one counterparty. At December 31, 2015, approximately 15% of open reverse repurchase agreements were with one counterparty. As of September 30, 2016 remaining days to maturity on the Company's open reverse repurchase agreements ranged from 3 days to 392 days and from 4 days to 666 days as of December 31, 2015. Interest rates on the Company's open reverse repurchase agreements ranged from (0.25)% to 3.52% as of September 30, 2016 and from 0.37% to 2.92% as of December 31, 2015.

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, corporate debt, residential mortgage loans, and U.S. Treasury securities, by remaining maturity as of September 30, 2016 and December 31, 2015:



(In thousands)	September 30, 2016					December 31, 2015
			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	$	448,489	0.71	%	14	$	295,277	0.54	%	14
31-60 Days	197,704		0.71	%	45	203,144		0.54	%	44
61-90 Days	85,050		0.77	%	75	239,431		0.68	%	74
91-120 Days	14,709		0.75	%	110	193,962		0.56	%	106
151-180 Days	24,186		0.82	%	164	1,506		1.57	%	175
Total Agency RMBS	770,138		0.72	%	35	933,320		0.58	%	56
Credit:
30 Days or Less	30,386		1.05	%	5	14,674		1.94	%	17
31-60 Days	38,541		2.20	%	45	26,419		1.87	%	39
61-90 Days	22,240		2.77	%	81	82,292		2.46	%	67
91-120 Days	20,301		3.50	%	119	—		—	%	—
121-150 Days	1,406		2.64	%	129	—		—	%	—
151-180 Days	10,119		3.05	%	165	24,193		2.62	%	164
181-360 Days	11,723		2.99	%	310	23,877		2.80	%	346
>360 Days	63,209		3.25	%	372	69,414		2.51	%	666
Total Credit Assets	197,925		2.65	%	177	240,869		2.47	%	272
U.S. Treasury Securities:
30 Days or Less	15,751		1.11	%	3	—		—	%	—
Total U.S. Treasury Securities	15,751		1.11	%	3	—		—	%	—
Total	$	983,814	1.11	%	63	$	1,174,189	0.97	%	100

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 $4.4 million as of December 31, 2015.

As of September 30, 2016 and December 31, 2015, the fair value of investments transferred as collateral under outstanding borrowings under reverse repurchase agreements was $1.11 billion and $1.35 billion, respectively. Collateral transferred under outstanding borrowings as of September 30, 2016 include investments in the amount of $20.8 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 $23.0 million and additional securities with a fair value of $2.4 million as of September 30, 2016 to its counterparties. Collateral transferred under outstanding borrowings as of December 31, 2015 include investments in the amount of $16.8 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 $25.5 million and additional securities with a fair value of $5.1 million as of December 31, 2015 as a result of margin calls from various counterparties.

Securitized Debt

In addition to its borrowings under reverse repurchase agreements, the Company has entered into securitization transactions to finance certain of its commercial mortgage loans and REO which are accounted for as collateralized borrowings. As of September 30, 2016, the Company had outstanding borrowings in the amount of $30.8 million in connection with one such securitization which is reflected under the caption "Securitized debt," on the Company's Consolidated Statement of Assets, Liabilities, and Equity. As of September 30, 2016, the fair value of commercial mortgage loans and REO collateralizing this financing was $50.2 million. Interest accrues at a rate of LIBOR plus 3.25% and the debt has a maturity date of September 30, 2018. The Company did not have any outstanding borrowings classified as Securitized debt as of December 31, 2015. See Note 7, Related Party Transactions, for further information on the Company's securitized debt.