Repurchase Agreements

9 Months Ended

Sep. 30, 2014

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

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 September 30, 2014, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 26 days and an effective repricing period of 21 months, including the impact of related Swaps.  At December 31, 2013, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 25 days and an effective repricing period of 24 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 September 30, 2014 and December 31, 2013:

(Dollars in Thousands)	September 30, 2014			December 31, 2013
Repurchase agreement borrowings secured by Agency MBS	$	5,417,797		$	5,750,053
Fair Value of Agency MBS pledged as collateral under repurchase agreements	$	5,698,202		$	6,068,447
Weighted average haircut on Agency MBS (1)	4.70		%	4.89		%
Repurchase agreement borrowings secured by Non-Agency MBS (2)	$	2,263,910		$	2,206,586
Fair Value of Non-Agency MBS pledged as collateral under repurchase agreements (2)(3)	$	3,454,698		$	3,663,523
Weighted average haircut on Non-Agency MBS (1)	28.48		%	32.48		%
Repurchase agreements secured by U.S. Treasuries	$	444,016		$	382,658
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements	$	442,370		$	383,743
Weighted average haircut on U.S. Treasuries (1)	1.41		%	1.65		%

(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 $1.276 billion and $1.885 billion of Non-Agency MBS acquired from consolidated VIEs at September 30, 2014, and December 31, 2013, respectively, that are eliminated from the Company’s consolidated balance sheets.

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 September 30, 2014 and December 31, 2013:

	September 30, 2014				December 31, 2013
	Balance (1)		Weighted Average Interest Rate		Balance (1)		Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
Within 30 days	$	6,619,916	0.65	%	$	7,064,598	0.68	%
Over 30 days to 3 months	1,367,544		0.82		1,274,699		1.31
Over 3 months to 12 months	138,263		1.65		—		—
Total	$	8,125,723	0.70	%	$	8,339,297	0.77	%

(1)  At September 30, 2014 and December 31, 2013, the Company had repurchase agreements of $791.8 million and $102.7 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 presents contractual maturity information about the Company’s borrowings under repurchase agreements at September 30, 2014 and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

	September 30, 2014
Contractual Maturity	Balance (1)		Weighted Average Interest Rate
(Dollars in Thousands)
Overnight	$	—	—	%
Within 30 days	6,069,537		0.55
Over 30 days to 90 days	1,221,035		0.69
Over 90 days to 12 months	835,151		1.84
Total	$	8,125,723	0.70	%

(1) At September 30, 2014, the Company had repurchase agreements of $791.8 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 26 counterparties at both September 30, 2014 and December 31, 2013.  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 September 30, 2014:

	Counterparty Rating (1)	Amount  at Risk (2)		Weighted  Average Months  to Maturity for Repurchase Agreements	Percent of Stockholders’ Equity
Counterparty
(Dollars in Thousands)
Alpine Securitization Corporation/Credit Suisse (3)	A-1/P-1/F1	$	509,523	0	15.7	%
Wells Fargo (4)	A+/A2/AA-	339,149		5	10.4
RBS	BBB+/Baa2/A	295,142		2	9.1
UBS (5)	A/A2/A	236,453		16	7.3
RBC (6)	AA-/Aa3/AA	179,387		5	5.5

(1) As rated at September 30, 2014 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 Transactions, including accrued interest receivable on such securities.

(3) Includes $353.8 million at risk with Alpine Securitization Corporation and $155.7 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 $199.3 million at risk with Wells Fargo Bank, NA and $139.9 million at risk with Wells Fargo Securities LLC.

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

(6) Includes $167.4 million at risk with Royal Bank of Canada and $12.0 million at risk with RBC Capital Markets LLC.