Financing Arrangements, Portfolio Investments

The Company finances its portfolio investments with a combination of repurchase agreements and Federal Home Loan Bank advances. The Company has entered into repurchase agreements with third party financial institutions and the Company’s wholly owned subsidiary, GLIH, as a member of the FHLBI, may access a variety of products and services offered by the FHLBI, including secured advances. These financing arrangements are short-term borrowings that bear interest rates typically based on a spread to LIBOR, and are secured by the securities which they finance.

At December 31, 2015, the Company had repurchase agreements with an outstanding balance of $456.4 million and a weighted average interest rate of 0.77%. At December 31, 2014, the Company had repurchase agreements with an outstanding balance of $652.0 million and a weighted average interest rate of 0.43%.

As of December 31, 2015, GLIH had $121.0 million in outstanding secured advances from the FHLBI with a weighted average borrowing rate of 0.47%, and had an additional $79.0 million of available uncommitted capacity for borrowings, which may be adjusted at the sole discretion of the FHLBI. Each advance requires approval by the FHLBI and is secured by collateral in accordance with the FHLBI’s credit and collateral guidelines, as may be revised from time to time by the FHLBI. Eligible collateral may include Agency RMBS and certain non-Agency RMBS with a rating of A and above, conventional 1-4 family residential mortgage loans and commercial real estate loans. Investment securities available for sale with a carrying value of $129.1 million at December 31, 2015, are pledged or restricted as collateral for the future payment obligations of FHLBI advances. The FHLBI advances had contractual maturities within 30 days from December 31, 2015.

The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral. In addition, as a condition to membership in the FHLBI, the Company is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of advances from the FHLBI. At December 31, 2015, the Company had stock in the FHLBI totaling $5.4 million, which is included in receivables and other assets on the consolidated balance sheet. FHLBI stock is considered a non-marketable, long-term investment, is carried at cost and is subject to recoverability testing under applicable accounting standards. This stock can only be redeemed or sold at its par value, and only to the FHLBI. Accordingly, when evaluating FHLBI stock for impairment, the Company considers the ultimate recoverability of the par value rather than recognizing temporary declines in value. As of December 31, 2015, the Company had not recognized an impairment charge related to its FHLBI stock.

The following table presents detailed information about the Company’s borrowings under financing arrangements, including FHLBI advances, and associated assets pledged as collateral at December 31, 2015 and December 31, 2014 (dollar amounts in thousands):



	2015						2014
Assets Pledged as Collateral	Outstanding Borrowings		Fair Value of Collateral Pledged		Amortized Cost Of Collateral Pledged		Outstanding Borrowings		Fair Value of Collateral Pledged		Amortized Cost Of Collateral Pledged
Agency ARMs	$	227,609	$	141,585	$	143,754	$	171,852	$	181,694	$	183,342
Agency Fixed Rate	261,644		374,691		386,853		413,199		437,002		446,851
Agency IOs/U.S. Treasury Securities	88,160		123,407		139,218		66,914		83,988		95,129
Balance at end of the period	$	577,413	$	639,683	$	669,825	$	651,965	$	702,684	$	725,322

As of December 31, 2015 and 2014, the average days to maturity for all financing arrangements, including FHLBI advances, were 27 days and 26 days, respectively. The Company’s accrued interest payable on outstanding financing arrangements, including FHLBI advances, at December 31, 2015 and 2014 amounts to $0.3 million and $0.3 million, respectively, and is included in accrued expenses and other liabilities on the Company’s consolidated balance sheets.

The following table presents contractual maturity information about the Company’s outstanding financing arrangements, including FHLBI advances, at December 31, 2015 and 2014 (dollar amounts in thousands):



Contractual Maturity	December 31, 2015		December 31, 2014
Within 30 days	$	468,402	$	157,008
Over 30 days to 90 days	85,423		494,957
Over 90 days	23,588		—
Total	$	577,413	$	651,965

As of December 31, 2015, the outstanding balance under our financing arrangements was funded at an advance rate of 92.1% that implies an average haircut of 7.9%. The weighted average “haircut” related to our repurchase agreement financing for our Agency RMBS (excluding Agency IOs) and Agency IOs were approximately 5% and 25%.

In the event we are unable to obtain sufficient short-term financing through financing arrangements or our lenders start to require additional collateral, we may have to liquidate our investment securities at a disadvantageous time, which could result in losses. Any losses resulting from the disposition of our investment securities in this manner could have a material adverse effect on our operating results and net profitability. At December 31, 2015 and December 31, 2014, the Company had financing arrangements with 6 and 10 counterparties respectively. As of December 31, 2015 and December 31, 2014, we had no counterparties where the amount at risk was in excess of 5% of Stockholders’ Equity. The amount at risk is defined as the fair value of securities pledged as collateral to the financing arrangement in excess of the rfinancing arrangement liability.

As of December 31, 2015, the Company had $62.0 million in cash and $147.2 million in unencumbered investment securities to meet additional haircut or market valuation requirements, including $84.0 million of RMBS, of which $82.5 million are Agency RMBS and $62.1 million of multi-family CMBS (which represents the net fair value of certain first loss tranche PO securities issued by certain K-Series securitizations included in the Consolidated K-Series). The $62.0 million of cash, $84.0 million in RMBS, $62.1 million of CMBS and $11.6 million held in overnight deposits in our Agency IO portfolio included in restricted cash (that is available to meet margin calls as it relates to our Agency IO portfolio financing arrangements), which collectively represent 38.2% of our financing arrangements, are liquid and could be monetized to pay down or collateralize the financing arrangements immediately.