| Schedule of Secured Borrowings |
Secured borrowings (and related pledged collateral, including accrued interest receivable), classified by collateral type and remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands):
|
Collateral Type |
|
Collateral
Carrying
Amount |
|
|
Accrued
Interest
Receivable |
|
|
Borrowings
Outstanding |
|
|
Average
Borrowing
Rates |
|
|
March 31, 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings under repurchase arrangements with
maturities of 30 days or less: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Securities |
|
$ |
12,559,176 |
|
|
$ |
31,369 |
|
|
$ |
11,913,651 |
|
|
|
1.88 |
% |
|
Borrowings under repurchase arrangements with
maturities greater than 30 days: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Securities (31 to 90 days) |
|
|
32,595 |
|
|
|
72 |
|
|
|
30,008 |
|
|
|
1.78 |
|
|
Similar borrowings: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral for structured financings |
|
|
1,182 |
|
|
|
– |
|
|
|
1,182 |
|
|
|
8.17 |
|
|
|
|
$ |
12,592,953 |
|
|
$ |
31,441 |
|
|
$ |
11,944,841 |
|
|
|
1.88 |
|
|
Quarter-end borrowing rates adjusted for effects
of related derivative financial instruments
(Derivatives) held as cash flow hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.63 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings under repurchase arrangements with
maturities of 30 days or less: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Securities |
|
$ |
12,943,193 |
|
|
$ |
30,646 |
|
|
$ |
12,296,546 |
|
|
|
1.60 |
% |
|
Borrowings under repurchase arrangements with
maturities greater than 30 days: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency Securities (31 to 90 days) |
|
|
35,568 |
|
|
|
75 |
|
|
|
33,073 |
|
|
|
1.53 |
|
|
Similar borrowings: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral for structured financings |
|
|
1,441 |
|
|
– |
|
|
|
1,441 |
|
|
|
7.94 |
|
|
|
|
$ |
12,980,202 |
|
|
$ |
30,721 |
|
|
$ |
12,331,060 |
|
|
|
1.60 |
|
|
Year-end borrowing rates adjusted for effects of
related Derivatives held as cash flow hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1.46 |
|
|
| Schedule of Average Borrowings Outstanding |
Average secured borrowings outstanding during the indicated periods differed from respective ending balances primarily due to changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff as illustrated below (dollars in thousands):
|
|
|
Quarter Ended |
|
|
|
|
March 31, 2018 |
|
|
December 31, 2017 |
|
|
|
|
Average
Borrowings |
|
|
Average
Rate |
|
|
Average
Borrowings |
|
|
Average
Rate |
|
|
Average borrowings and rates adjusted for the
effects of related Derivatives held as cash flow
hedges for the indicated periods |
|
$ |
12,235,554 |
|
|
|
1.47 |
% |
|
$ |
12,408,550 |
|
|
|
1.29 |
% |
|