Repurchase Agreements

3 Months Ended

Mar. 31, 2012

Repurchase Agreements

Repurchase Agreements

7.      Repurchase Agreements

The Company’s repurchase agreements are collateralized by the Company’s MBS and cash and bear interest that is generally LIBOR-based.  (See Note 8)  At March 31, 2012, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 41 days and an effective repricing period of 8 months, including the impact of related Swaps.  At December 31, 2011, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 31 days and an effective repricing period of 9 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 March 31, 2012 and December 31, 2011:

(In Thousands)	March 31, 2012			December 31, 2011
Repurchase agreement borrowings secured by Agency MBS	$	6,115,414		$	6,198,829
Fair Value of Agency MBS pledged as collateral under repurchase agreements	$	6,427,971		$	6,549,276
Weighted average haircut on Agency MBS (1)	4.79		%	4.78		%
Repurchase agreement borrowings secured by Non-Agency MBS (2)	$	1,290,207		$	1,313,336
Fair Value of Non-Agency MBS pledged as collateral under repurchase agreements (2) (3)	$	2,240,465		$	2,067,221
Cash pledged against Non-Agency MBS (i.e., restricted cash) under repurchase agreements	$	—		$	—
Weighted average haircut on Non-Agency MBS (1)	32.00		%	30.97		%
Repurchase agreements secured by U.S. Treasuries	$	503,311		$	300,994
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements	$	503,740		$	306,401
Weighted average haircut on U.S. Treasuries (1)	1.60		%	2.00		%

(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 $1.611 billion and $1.375 billion of Non-Agency MBS acquired from consolidated VIEs at March 31, 2012, and December 31, 2011, 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 March 31, 2012 and December 31, 2011:

	March 31, 2012				December 31, 2011
			Weighted				Weighted
Time Until Interest Rate Reset			Average				Average
(Dollars in Thousands)	Balance (1)		Interest Rate		Balance (1)		Interest Rate
Within 30 days	$	4,700,447	0.50	%	$	5,220,740	0.54	%
Over 30 days to 3 months	2,938,287		0.70		2,570,119		0.77
Over 3 months to 6 months	100,641		0.37		—		—
Over 6 months to 12 months	169,557		2.52		22,300		3.15
Total	$	7,908,932	0.62	%	$	7,813,159	0.62	%

(1)  At March 31, 2012 and December 31, 2011, the Company had repurchase agreements of $84.8 million and $170.9 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 4)

The following table at March 31, 2012 presents contractual maturity information about the Company’s repurchase agreements and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

	March 31, 2012
			Weighted
Contractual Maturity			Average
(Dollars in Thousands)	Balance (1)		Interest Rate
Overnight	$	—	—	%
Within 30 days	4,564,089		0.45
Over 30 days to 90 days	2,857,766		0.77
Over 90 days to 12 months	444,804		1.17
Over 12 months	42,273		2.25
Total	$	7,908,932	0.62	%

(1)  At March 31, 2012, the Company had repurchase agreements of $84.8 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 4)

The Company had repurchase agreements with 26 counterparties at March 31, 2012 and 25 counterparties at December 31, 2011.  The following table presents information with respect to any counterparty for repurchase agreements and/or Linked Transactions for which the Company had greater than 10% of stockholders’ equity at risk in the aggregate at March 31, 2012:

	March 31, 2012
Counterparty	Counterparty	Amount at		Weighted Average Months to Maturity for Repurchase	Percent of Stockholders’
(Dollars in Thousands)	Rating	Risk (3)		Agreements	Equity
Credit Suisse(1)	A/Aa2/AA-	$	518,004	2	18.7	%
UBS AG(2)	A	280,287		1	10.1	%

(1)  As rated at March 31, 2012 by S&P, Moody’s and Fitch, Inc., respectively.

(2)  As rated at March 31, 2012 by S&P.

(3) 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.