Borrowings

Repurchase agreements

The Company primarily finances its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to three months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. Under the terms of the repurchase agreements the Company may rehypothecate pledged U.S. Treasury securities it receives from its repurchase agreement as incremental collateral in order to increase the Company’s cash position. At December 31, 2017 and December 31, 2016, the Company did not have any rehypothecated U.S. Treasury securities.

Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio. For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of December 31, 2017.

As of December 31, 2017, the Company had master repurchase agreements with 28 counterparties. As of December 31, 2017, the Company had borrowings under repurchase agreements with 16 counterparties. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2017 and December 31, 2016 (dollars in thousands):



	December 31, 2017					December 31, 2016
Securities Pledged	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at end of period		Weighted Average Remaining Maturity (days)	Repurchase Agreement Borrowings		Weighted Average Interest Rate on Borrowings Outstanding at end of period		Weighted Average Remaining Maturity (days)
Agency RMBS	$	665,919	1.62	%	61	$	1,427,674	0.96	%	38
Agency CMBS	2,035,222		1.53	%	53	56,365		1.07	%	46
Non-Agency RMBS	46,530		2.76	%	41	218,712		2.53	%	28
Non-Agency CMBS	154,325		2.98	%	40	255,656		2.55	%	30
Whole-loans⁽¹⁾⁽²⁾	189,270		3.66	%	8	161,181		2.91	%	9
Residential Bridge Loans⁽¹⁾	100,183		4.05	%	59	—		—	%	0
Other securities	60,237		2.94	%	23	36,056		2.32	%	17
Repurchase agreements borrowings	3,251,686		1.86	%	51	2,155,644		1.48	%	34
Less unamortized debt issuance cost	—		N/A		N/A	—		N/A		N/A
Repurchase agreements borrowings, net	$	3,251,686	1.86	%	51	$	2,155,644	1.48	%	34


(1)	Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation.


(2)	Whole-loans consist of Residential Whole-Loans and securitized commercial loan.

For the years ended December 31, 2017 and December 31, 2016, the Company had average borrowings under its repurchase agreements of approximately $2.7 billion and $2.5 billion, respectively, and had a maximum month-end balance during the periods of approximately $3.3 billion and $3.1 billion, respectively. The Company had accrued interest payable at December 31, 2017 and December 31, 2016 of approximately $6.3 million and $3.2 million, respectively.

At December 31, 2017 and December 31, 2016, repurchase agreements collateralized by investments had the following remaining maturities:



(dollars in thousands)	December 31, 2017		December 31, 2016
Overnight	$	—	$	—
1 to 29 days	1,387,599		1,386,971
30 to 59 days	665,656		167,642
60 to 89 days	871,819		601,031
90 to 119 days	—		—
Greater than or equal to 120 days	326,612		—
Total	$	3,251,686	$	2,155,644

At December 31, 2017, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):



	December 31, 2017
Counterparty	Amount of Collateral at Risk, at fair value		Weighted Average Remaining Maturity (days)	Percentage of Stockholders' Equity
UBS AG, London Branch	$	65,532	22	14.1	%
Credit Suisse AG, Cayman Islands Branch	49,455		8	10.6	%

Collateral for Borrowings under Repurchase Agreements

The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2017 and December 31, 2016 (dollars in thousands):



	December 31, 2017						December 31, 2016
	Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest		Assets Pledged		Accrued Interest		Assets Pledged and Accrued Interest
Assets pledged for borrowings under repurchase agreements:
Agency RMBS, at fair value	$	690,255	$	2,601	$	692,856	$	1,465,384	$	5,335	$	1,470,719
Agency CMBS, at fair value	2,143,340		5,454		2,148,794		61,200		353		61,553
Non-Agency RMBS, at fair value	58,127		160		58,287		308,165		682		308,847
Non-Agency CMBS, at fair value	208,062		1,100		209,162		358,919		1,845		360,764
Whole-loans, at fair value ⁽¹⁾⁽²⁾	237,423		1,754		239,177		205,702		1,518		207,220
Residential Bridge Loans⁽¹⁾	106,673		1,443		108,116		—		—		—
Other securities, at fair value	89,823		105		89,928		67,762		57		67,819
Cash⁽³⁾	23,591		—		23,591		36,986		—		36,986
Total	$	3,557,294	$	12,617	$	3,569,911	$	2,504,118	$	9,790	$	2,513,908


(1)	Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.


(2)	Whole-loans consist of Residential Whole-Loans and securitized commercial loan.


(3)	Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets.

A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At December 31, 2017 and December 31, 2016, investments held by counterparties as security for repurchase agreements totaled approximately $3.5 billion and approximately $2.5 billion, respectively. Cash collateral held by repurchase agreement counterparties at December 31, 2017 and December 31, 2016 was approximately $23.6 million and $37.0 million, respectively. Cash posted by repurchase agreement counterparties at December 31, 2017 and December 31, 2016, was approximately $1.5 million and $270 thousand, respectively. In addition, at December 31, 2017 and December 31, 2016, the Company held securities with a fair value of $306 thousand and $357 thousand, respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements. The Company has the ability to repledge collateral received from its repurchase counterparties.

Convertible Senior Unsecured Notes

In October 2017, the Company issued $115.0 million aggregate principal amount of 6.75% convertible senior unsecured notes, which included the underwriter’s option to purchase $15.0 million aggregate principal amount of the notes for net proceeds of $111.1 million. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity.

The notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the agreement. The initial conversion rate was 83.1947 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock.