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Repurchase Agreements (Tables)
 9 Months Ended
Sep. 30, 2015
Banking And Thrift [Abstract]  
Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities

At September 30, 2015 and December 31, 2014, the repurchase agreements had the following balances (dollar amounts in thousands), weighted average interest rates and remaining weighted average maturities:

September 30, 2015

 

 

 

Agency MBS

 

 

Non-Agency MBS

 

 

Total MBS

 

 

 

Balance

 

 

Weighted

Average

Interest

Rate

 

 

Balance

 

 

Weighted

Average

Interest

Rate

 

 

Balance

 

 

Weighted

Average

Interest

Rate

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Overnight

 

$

7,000

 

 

 

0.45

%

 

$

-

 

 

 

-

%

 

$

7,000

 

 

 

0.45

%

Less than 30 days

 

 

2,890,000

 

 

 

0.42

 

 

 

419,045

 

 

 

1.77

 

 

 

3,309,045

 

 

 

0.59

 

30 days to 90 days

 

 

2,515,000

 

 

 

0.49

 

 

 

-

 

 

 

-

 

 

 

2,515,000

 

 

 

0.49

 

Over 90 days to less than 1 year

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

1 year to 2 years

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Demand

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

$

5,412,000

 

 

 

0.45

%

 

$

419,045

 

 

 

1.77

%

 

$

5,831,045

 

 

 

0.54

%

Weighted average maturity

 

30 days

 

 

 

 

 

 

14 days

 

 

 

 

 

 

29 days

 

 

 

 

 

Weighted average interest rate after

     adjusting for interest rate swaps

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.18

%

 

 

 

 

Weighted average maturity after adjusting

     for interest rate swaps

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

687 days

 

 

 

 

 

MBS pledged as collateral under the

     repurchase agreements and swap

     agreements

 

$

5,748,443

 

 

 

 

 

 

$

545,861

 

 

 

 

 

 

$

6,298,304

 

 

 

 

 

December 31, 2014

 

 

 

Agency MBS

 

 

Non-Agency MBS

 

 

Total MBS

 

 

 

Balance

 

 

Weighted

Average

Interest

Rate

 

 

Balance

 

 

Weighted

Average

Interest

Rate

 

 

Balance

 

 

Weighted

Average

Interest

Rate

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Overnight

 

$

-

 

 

 

-

%

 

$

-

 

 

 

-

%

 

$

-

 

 

 

-

%

Less than 30 days

 

 

2,395,000

 

 

 

0.32

 

 

 

115,740

 

 

 

1.82

 

 

 

2,510,740

 

 

 

0.39

 

30 days to 90 days

 

 

3,860,000

 

 

 

0.35

 

 

 

-

 

 

 

-

 

 

 

3,860,000

 

 

 

0.35

 

Over 90 days to less than 1 year

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

1 year to 2 years

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Demand

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

$

6,255,000

 

 

 

0.34

%

 

$

115,740

 

 

 

1.82

%

 

$

6,370,740

 

 

 

0.37

%

Weighted average maturity

 

38 days

 

 

 

 

 

 

13 days

 

 

 

 

 

 

37 days

 

 

 

 

 

Weighted average interest rate after

     adjusting for interest rate swaps

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1.06

%

 

 

 

 

Weighted average maturity after adjusting

     for interest rate swaps

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

767 days

 

 

 

 

 

MBS pledged as collateral under the

     repurchase agreements and swap

     agreements

 

$

6,650,143

 

 

 

 

 

 

$

155,311

 

 

 

 

 

 

$

6,805,454

 

 

 

 

 

 
Liabilities and Assets Subject to Netting Arrangements

The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) only in the event of default on a contract. See Notes 1, 8 and 14 for more information on the Company’s interest rate swaps (both items that were hedges and also for de-designated swaps) and other derivative instruments.

 

 

 

 

 

 

 

 

 

 

 

Net Amounts of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

Gross Amounts Not Offset

 

 

 

 

 

 

 

Gross Amounts

 

 

 

 

 

 

or Liabilities

 

 

in the Balance Sheets(1)

 

 

 

 

 

 

 

of Recognized

 

 

Gross Amounts

 

 

Presented in

 

 

 

 

 

 

Cash

 

 

 

 

 

September 30, 2015

 

Assets or

 

 

Offset in the

 

 

the Balance

 

 

Financial

 

 

Collateral

 

 

Net

 

(in thousands)

 

Liabilities

 

 

Balance Sheets

 

 

Sheets

 

 

Instruments

 

 

Received

 

 

Amounts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative assets at fair value(2)

 

$

4,114

 

 

$

-

 

 

$

4,114

 

 

$

(4,114

)

 

$

-

 

 

$

-

 

Total

 

$

4,114

 

 

$

-

 

 

$

4,114

 

 

$

(4,114

)

 

$

-

 

 

$

-

 

Repurchase Agreements(3)

 

$

5,831,045

 

 

$

-

 

 

$

5,831,045

 

 

$

(5,831,045

)

 

$

-

 

 

$

-

 

Derivative liabilities at fair value(2)

 

 

62,607

 

 

-

 

 

 

62,607

 

 

 

(62,607

)

 

-

 

 

-

 

Total

 

$

5,893,652

 

 

$

-

 

 

$

5,893,652

 

 

$

(5,893,652

)

 

$

-

 

 

$

-

 

 

 

 

 

 

 

 

 

 

 

 

Net Amounts of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

Gross Amounts Not Offset

 

 

 

 

 

 

 

Gross Amounts

 

 

 

 

 

 

or Liabilities

 

 

in the Balance Sheets(1)

 

 

 

 

 

 

 

of Recognized

 

 

Gross Amounts

 

 

Presented in

 

 

 

 

 

 

Cash

 

 

 

 

 

December 31, 2014

 

Assets or

 

 

Offset in the

 

 

the Balance

 

 

Financial

 

 

Collateral

 

 

Net

 

(in thousands)

 

Liabilities

 

 

Balance Sheets

 

 

Sheets

 

 

Instruments

 

 

Received

 

 

Amounts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative assets at fair value(2)

 

$

9,792

 

 

$

-

 

 

$

9,792

 

 

$

(9,792

)

 

$

-

 

 

$

-

 

Total

 

$

9,792

 

 

$

-

 

 

$

9,792

 

 

$

(9,792

)

 

$

-

 

 

$

-

 

Repurchase Agreements(3)

 

$

6,370,740

 

 

$

-

 

 

$

6,370,740

 

 

$

(6,370,740

)

 

$

-

 

 

$

-

 

Derivative liabilities at fair value(2)

 

 

45,259

 

 

-

 

 

 

45,259

 

 

 

(45,259

)

 

-

 

 

-

 

Total

 

$

6,415,999

 

 

$

-

 

 

$

6,415,999

 

 

$

(6,415,999

)

 

$

-

 

 

$

-

 

 

 

(1)

Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01.

(2)

At September 30, 2015, we had pledged approximately $59.5 million in Agency MBS as collateral and paid another approximately $30.3 million on swap margin calls (included in “Restricted cash”) on our swap derivatives, which were approximately $78 thousand in derivative assets and approximately $58.1 million in derivative liabilities at September 30, 2015. At December 31, 2014, we had pledged approximately $54 million in Agency MBS as collateral and paid another approximately $13 million on swap margin calls on our swap derivatives, which were approximately $8.7 million in derivative assets and approximately $43.6 million in derivative liabilities at December 31, 2014.

(3)

At September 30, 2015, we had pledged approximately $5.75 billion in Agency MBS and approximately $546 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2014, we had pledged $6.65 billion in Agency MBS and approximately $155 million in Non-Agency MBS as collateral on our repurchase agreements.