Financing Arrangements, Portfolio Investments

The Company has entered into repurchase agreements with third party financial institutions to finance its investment portfolio. 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 September 30, 2017, the Company had repurchase agreements with an outstanding balance of $608.3 million and a weighted average interest rate of 2.33%. At December 31, 2016, the Company had repurchase agreements with an outstanding balance of $773.1 million and a weighted average interest rate of 1.92%.

The following table presents detailed information about the Company’s borrowings under financing arrangements and associated assets pledged as collateral at September 30, 2017 and December 31, 2016 (dollar amounts in thousands):



	September 30, 2017						December 31, 2016
	Outstanding Financing Arrangements		Fair Value of Collateral Pledged		Amortized Cost of Collateral Pledged		Outstanding Financing Arrangements		Fair Value of Collateral Pledged		Amortized Cost of Collateral Pledged
Agency ARMs	$	80,327	$	85,117	$	85,990	$	102,088	$	109,552	$	110,903
Agency Fixed Rate	248,936		261,450		270,587		289,619		308,411		318,544
Agency IOs/U.S. Treasury Securities	26,048		36,702		47,913		60,862		82,153		93,819
Non Agency	48,773		64,917		63,792		113,749		150,944		149,969
CMBS ⁽¹⁾	204,220		283,669		221,440		206,824		294,083		216,092
Balance at end of the period	$	608,304	$	731,855	$	689,722	$	773,142	$	945,143	$	889,327


⁽¹⁾	Includes first loss tranche PO and mezzanine CMBS securities with a fair value amounting to $237.8 million and $254.6 million included in the Consolidated K-Series as of September 30, 2017 and December 31, 2016, respectively.

As of September 30, 2017 and December 31, 2016, the average days to maturity for financing arrangements were 18 days and 12 days, respectively. The Company’s accrued interest payable on outstanding financing arrangements at September 30, 2017 and December 31, 2016 amounts to $0.5 million and $1.1 million, respectively, and is included in accrued expenses and other liabilities on the Company’s condensed consolidated balance sheets.

The following table presents contractual maturity information about the Company’s outstanding financing arrangements, at September 30, 2017 and December 31, 2016 (dollar amounts in thousands):



Contractual Maturity	September 30, 2017		December 31, 2016
Within 30 days	$	608,304	$	729,134
Over 30 days to 90 days	—		44,008
Over 90 days	—		—
Total	$	608,304	$	773,142

As of September 30, 2017, the outstanding balance under our financing arrangements was funded at an advance rate of 87.8% that implies an average haircut of 12.2%. As of September 30, 2017, the weighted average “haircut” related to our repurchase agreement financing for our Agency RMBS (excluding Agency IOs), Non-Agency RMBS, CMBS and Agency IOs was approximately 4%, 25%, 20% and 25%, respectively.

In the event we are unable to obtain sufficient short-term financing through existing financings 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 September 30, 2017 and December 31, 2016, the Company had financing arrangements with eight counterparties. As of September 30, 2017, we had no counterparties where the amount at risk was in excess of 5% of the Company's stockholders’ equity. At December 31, 2016, the Company's only exposure where the amount at risk was in excess of 5% of the Company's stockholders' equity was to Deutsche Bank AG, London Branch at 5.1%. The amount at risk is defined as the fair value of securities pledged as collateral to the financing arrangement in excess of the financing arrangement liability.

As of September 30, 2017, our available liquid assets included unrestricted cash and cash equivalents, overnight deposits and unencumbered securities that we believe may be posted as margin. The Company had $101.9 million in cash and cash equivalents, $8.9 million in overnight deposits in our Agency IO portfolio included in restricted cash and $243.1 million in unencumbered investment securities to meet additional haircuts or market valuation requirements. The unencumbered securities that we believe may be posted as margin as of September 30, 2017 included $35.1 million of Agency RMBS, $139.9 million of CMBS and $68.1 million of Non-Agency RMBS and other investment securities. The cash and unencumbered securities, which collectively represent 58.2% of our financing arrangements, are liquid and could be monetized to pay down or collateralize a liability immediately.