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Repurchase Agreements
 6 Months Ended
Jun. 30, 2015
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements
Repurchase Agreements
 
The Company’s repurchase agreements are accounted for as secured borrowings and are collateralized by the Company’s MBS, U.S. Treasury securities (obtained as part of a reverse repurchase agreement), CRT securities, residential whole loans and cash, and bear interest that is generally LIBOR-based.  (See Notes 2(k) and 9)  At June 30, 2015, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 23 days and an effective repricing period of 16 months, including the impact of related Swaps.  At December 31, 2014, 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 21 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, 2015 and December 31, 2014:
(Dollars in Thousands)
 
June 30,
2015
 
December 31,
2014
Repurchase agreement borrowings secured by Agency MBS
 
$
4,672,707

 
$
5,177,835

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
4,923,712

 
$
5,462,566

Weighted average haircut on Agency MBS (1)
 
4.65
%
 
4.79
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS (2)
 
$
2,201,596

 
$
2,233,236

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2)(3)
 
$
3,139,828

 
$
3,491,312

Weighted average haircut on Legacy Non-Agency MBS (1)
 
25.57
%
 
28.88
%
Repurchase agreement borrowings secured by RPL/NPL MBS (2)
 
$
2,044,697

 
$
130,919

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements (2)
 
$
2,591,503

 
$
160,688

Weighted average haircut on RPL/NPL MBS (1)
 
21.81
%
 
20.00
%
Repurchase agreements secured by U.S. Treasuries
 
$
491,215

 
$
507,114

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
498,336

 
$
512,105

Weighted average haircut on U.S. Treasuries (1)
 
1.65
%
 
1.62
%
Repurchase agreements secured by CRT securities (2)
 
$
92,921

 
$
75,960

Fair value of CRT securities pledged as collateral under repurchase agreements (2)
 
$
116,690

 
$
94,610

Weighted average haircut on CRT securities (1)
 
25.18
%
 
25.00
%
Repurchase agreements secured by residential whole loans
 
$
131,900

 
$
142,324

Fair value of residential whole loans pledged as collateral under repurchase agreements
 
$
201,062

 
$
212,986

Weighted average haircut on residential whole loans (1)
 
33.74
%
 
33.43
%
 
(1)
Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2)
Does not reflect Legacy Non-Agency MBS, RPL/NPL MBS, CRT securities and repurchase agreement borrowings that were components of Linked Transactions at December 31, 2014. As previously discussed, new accounting guidance effective January 1, 2015 prospectively eliminated the use of Linked Transaction accounting. (See Note 6)
(3)
Includes $587.1 million and $1.275 billion of Legacy Non-Agency MBS acquired from consolidated VIEs at June 30, 2015, and December 31, 2014, 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 June 30, 2015 and December 31, 2014:

 
 
June 30, 2015
 
December 31, 2014
 Balance
 
Weighted Average Interest Rate
Balance (1) 
 
Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
8,843,258

 
0.95
%
 
$
7,144,737

 
0.72
%
Over 30 days to 3 months
 
536,979

 
1.67

 
1,000,313

 
1.12

Over 3 months to 12 months
 
254,799

 
2.06

 
122,338

 
1.98

Total
 
$
9,635,036

 
1.02
%
 
$
8,267,388

 
0.79
%

(1)  At December 31, 2014, the Company had repurchase agreements of $1.520 billion that were linked to securities purchased and accounted for as Linked Transactions and, as such, the linked repurchase agreements are not included in the above table.  As previously discussed, new accounting guidance effective January 1, 2015 prospectively eliminated the use of Linked Transaction accounting. (See Note 6)
 
The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at June 30, 2015 and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

 
 
June 30, 2015
Contractual Maturity
 
Agency MBS
 
Legacy
Non-Agency MBS
 
RPL/NPL MBS
 
U.S. Treasuries
 
CRT Securities
 
Residential Whole Loans
 
Total
 
Weighted 
Average Interest Rate
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Overnight
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
—
%
Within 30 days
 
4,648,368

 
991,051

 
1,589,543

 
491,215

 
72,905

 
—

 
7,793,082

 
0.82

Over 30 days to 3 months
 
24,339

 
485,477

 
146,955

 
—

 
20,016

 
—

 
676,787

 
1.70

Over 3 months to 12 months
 
—

 
725,068

 
308,199

 
—

 
—

 
131,900

 
1,165,167

 
1.96

Total
 
$
4,672,707

 
$
2,201,596

 
$
2,044,697

 
$
491,215

 
$
92,921

 
$
131,900

 
$
9,635,036

 
1.02
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross amount of recognized liabilities for repurchase agreements in Note 10
 
$
9,635,036

 
 
Amounts related to repurchase agreements not included in offsetting disclosure in Note 10
 
$
—

 
 


The Company had repurchase agreements with 26 and 25 counterparties June 30, 2015 and December 31, 2014, respectively.  The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2015:
 
 
 
June 30, 2015
 
 
Counterparty
Rating (1)
 
Amount 
at Risk (2)
 
Weighted 
Average Months 
to Maturity for
Repurchase Agreements
 
Percent of
Stockholders’ Equity
Counterparty
 
 
 
 
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Credit Suisse
 
BBB+/Aa2/A
 
$
391,709

 
1
 
12.5
%
Wells Fargo (3)
 
AA-/Aa2/AA
 
370,409

 
6
 
11.8

RBC (4)
 
AA-/Aa3/AA-
 
350,755

 
3
 
11.2

UBS (5)
 
A/A2/A
 
214,069

 
7
 
6.8


(1)
As rated at June 30, 2015 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, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.
(3)
Includes $303.0 million at risk with Wells Fargo Bank, NA and $67.4 million at risk with Wells Fargo Securities LLC.
(4)
Includes $188.4 million at risk with RBC Barbados, $153.0 million at risk with Royal Bank of Canada and $9.4 million at risk with RBC Capital Markets LLC. Counterparty ratings are not published for RBC Barbados and RBC Capital Markets LLC.
(5)
Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.