Borrowings Under Repurchase Agreements (Tables)

9 Months Ended

Sep. 30, 2017

Weighted Average Maturities and Interest Rates of Borrowings

At September 30, 2017 and December 31, 2016, the Company’s borrowings had the following outstanding balances, maturities and weighted average interest rates:



	September 30, 2017								December 31, 2016
Lender	Maximum Amount of Borrowings		Borrowings Outstanding			Maturity⁽¹⁾	Weighted Average Rate⁽²⁾		Maximum Amount of Borrowings		Borrowings Outstanding			Maturity ⁽¹⁾	Weighted Average Rate ⁽²⁾
JPMorgan Facility ⁽³⁾	$	1,118,000	$	840,360		March 2020	L+2.27%		$	943,000	$	657,452		January 2019	L+2.25%
DB Repurchase Facility ⁽⁴⁾	565,491		265,658			March 2020	L+2.35%		300,000		137,355			September 2019	L+2.66%
Goldman Loan	34,180		34,180			April 2019	L+3.50%		N/A		40,657			April 2019	L+3.50%
Sub-total	1,717,671		1,140,198				L+2.32%				835,464				L+2.38%

UBS Facility	N/A		N/A			N/A	N/A		N/A		133,899			September 2018	2.79	%
DB Facility ⁽⁵⁾	300,000		149,317			April 2018	3.48	%	N/A		177,203			April 2018	3.63	%
Sub-total	300,000		149,317				3.48	%			311,102				3.27	%

Less: deferred financing costs	N/A		(10,884		)		N/A		N/A		(6,763		)		N/A
Total / Weighted Average	$	2,017,671	$	1,278,631			3.55	%			$	1,139,803			3.18	%

———————

(1) Maturity date assumes all extensions are exercised.

(2) Assumes one-month LIBOR was 1.23% and 0.77% as of September 30, 2017 and December 31, 2016, respectively.

(3) As of September 30, 2017, the Company's master repurchase agreement with JPMorgan Chase Bank, National Association

(the "JPMorgan Facility") provided for maximum total borrowings comprised of the $975,000 repurchase facility and a $143,000 asset specific financing.

(4) As of September 30, 2017, the Company's master repurchase agreement with Deutsche Bank AG, Cayman Islands Branch (the "DB Repurchase Facility") provided for maximum total borrowings comprised of the $450,000 and £45,000 repurchase facility and a $55,200 asset specific financing.

(5) Advances under the DB Facility accrue interest at a per annum pricing rate based on the rate implied by the fixed rate bid under a fixed for floating interest rate swap for the receipt of payments indexed to three-month U.S. dollar LIBOR, plus a financing spread ranging from 2.09% to 2.39% based on the rating of the collateral pledged.

Remaining Maturities of Borrowings

At September 30, 2017, the Company’s borrowings had the following remaining maturities:



	Less than 1 year⁽¹⁾		1 to 3 years⁽¹⁾		3 to 5 years		More than 5 years		Total
JPMorgan Facility	$	166,273	$	674,087	$	—	$	—	$	840,360
DB Repurchase Facility	—		265,658		—		—		265,658
Goldman Loan	—		34,180		—		—		34,180
DB Facility	149,317		—		—		—		149,317
Total	$	315,590	$	973,925	$	—	$	—	$	1,289,515

———————

(1) Assumes underlying assets are financed through the fully extended maturity date of the facility.

Schedule of Outstanding, Maximum and Average Balances of Debt

The table below summarizes the outstanding balances at September 30, 2017, as well as the maximum and average month-end balances for the nine months ended September 30, 2017 for the Company's borrowings under repurchase agreements.



			For the nine months ended September 30, 2017
	Balance at September 30, 2017		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility borrowings	$	840,360	$	986,611	$	849,355
DB Repurchase Facility borrowings	265,658		367,010		286,326
Goldman Loan borrowings	34,180		39,590		37,554
DB Facility borrowings	149,317		177,203		136,930
Total	$	1,289,515