Repurchase Agreements

The Company’s repurchase agreements are collateralized by the Company’s MBS and U.S. Treasury securities (obtained as part of a reverse repurchase agreement) and cash and bear interest that is generally LIBOR-based. (See Note 7) At June 30, 2013, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 28 days and an effective repricing period of nine months, including the impact of related Swaps. At December 31, 2012, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 28 days and an effective repricing period of five months, including the impact of related Swaps.

The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at June 30, 2013 and December 31, 2012:



(Dollars in Thousands)	June 30, 2013			December 31, 2012
Repurchase agreement borrowings secured by Agency MBS	$	6,080,964		$	6,353,489
Fair Value of Agency MBS pledged as collateral under repurchase agreements	$	6,443,433		$	6,678,384
Weighted average haircut on Agency MBS (1)	4.65		%	4.80		%
Repurchase agreement borrowings secured by Non-Agency MBS (2)	$	2,424,349		$	1,988,172
Fair Value of Non-Agency MBS pledged as collateral under repurchase agreements (2)(3)	$	3,906,157		$	3,463,128
Weighted average haircut on Non-Agency MBS (1)	30.19		%	30.49		%
Repurchase agreements secured by U.S. Treasuries	$	403,970		$	410,811
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements	$	405,458		$	408,833
Weighted average haircut on U.S. Treasuries (1)	0.89		%	1.74		%

(1) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount on the Company’s repurchase agreements borrowings.

(2) Does not reflect Non-Agency MBS and repurchase agreement borrowings that are components of Linked Transactions.

(3) Includes $1.935 billion and $1.860 billion of Non-Agency MBS acquired from consolidated VIEs at June 30, 2013, and December 31, 2012, respectively, that are eliminated from the Company’s consolidated balance sheet.

The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at June 30, 2013 and December 31, 2012:



	June 30, 2013				December 31, 2012
	Balance (1)		Weighted Average Interest Rate		Balance (1)		Weighted Average Interest Rate
Time Until Interest Rate Reset	Balance (1)		Weighted Average Interest Rate		Balance (1)		Weighted Average Interest Rate
(Dollars in Thousands)
Within 30 days	$	7,503,586	0.76	%	$	6,293,802	0.71	%
Over 30 days to 3 months	1,152,390		0.75		2,458,670		1.21
Over 6 months to 12 months	253,307		1.83		—		—
Total	$	8,909,283	0.79	%	$	8,752,472	0.85	%

(1) At June 30, 2013 and December 31, 2012, the Company had repurchase agreements of $33.2 million and $35.3 million, respectively, that were linked to Non-Agency MBS purchases and accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 5)

The following table at June 30, 2013 presents contractual maturity information about the Company’s borrowings under repurchase agreements and does not reflect the impact of derivative contracts that hedge such repurchase agreements:



	June 30, 2013
Contractual Maturity	Balance (1)		Weighted Average Interest Rate
(Dollars in Thousands)
Overnight	$	—	—	%
Within 30 days	7,004,532		0.67
Over 30 days to 90 days	1,104,778		0.70
Over 90 days to 12 months	342,043		1.89
Over 12 months	457,930		2.04
Total	$	8,909,283	0.79	%

(1) At June 30, 2013, the Company had repurchase agreements of $33.2 million that were linked to Non-Agency MBS purchases and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 5)

The Company had repurchase agreements with 27 counterparties at June 30, 2013 and 26 counterparties at December 31, 2012. The following table presents information with respect to any counterparty for repurchase agreements and/or Linked Transactions for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2013:



	Counterparty Rating (1)	Amount at Risk (2)		Weighted Average Months to Maturity for Repurchase Agreements	Percent of Stockholders’ Equity
Counterparty	Counterparty Rating (1)	Amount at Risk (2)			Percent of Stockholders’ Equity
(Dollars in Thousands)
Alpine Securitization Corporation/Credit Suisse (3)	A-1/P-1/F1	$	704,276	1	22.3	%
Wells Fargo (4)	AA-/Aa3/AA-	357,260		9	11.3
UBS (5)(6)	A/A2/A	250,088		26	7.9
Deutsche Bank	A+/A2/A+	206,555		2	6.5

(1) As rated at June 30, 2013 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities.

(2) The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements and repurchase agreements underlying Linked Transactions, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral and MBS underlying Linked Transaction, including accrued interest receivable on such securities.

(3) Includes $677.2 million at risk with Alpine Securitization Corporation and $27.0 million at risk with Credit Suisse Securities (USA) LLC. Alpine Securitization Corporation is a special purpose funding vehicle that is a consolidated affiliate of Credit Suisse Group. Counterparty rating shown is the asset backed short term rating for Alpine Securitization Corporation.

(4) Includes $114.3 million at risk with Wells Fargo Bank, NA and $242.9 million at risk with Wells Fargo Securities LLC.

(5) Includes $239.9 million at risk with UBS AG and $10.2 million at risk with UBS Securities LLC.

(6) Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.