Repurchase Agreements

9 Months Ended

Sep. 30, 2012

Repurchase Agreements

Repurchase Agreements

7.      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 8)  At September 30, 2012, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 29 days and an effective repricing period of six 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 nine 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, 2012 and December 31, 2011:

(In Thousands)	September 30, 2012			December 31, 2011
Repurchase agreement borrowings secured by Agency MBS	$	6,460,037		$	6,198,829
Fair Value of Agency MBS pledged as collateral under repurchase agreements	$	6,818,804		$	6,549,276
Weighted average haircut on Agency MBS (1)	4.77		%	4.78		%
Repurchase agreement borrowings secured by Non-Agency MBS (2)	$	1,869,175		$	1,313,336
Fair Value of Non-Agency MBS pledged as collateral under repurchase agreements (2) (3)	$	3,215,875		$	2,067,221
Weighted average haircut on Non-Agency MBS (1)	30.38		%	30.97		%
Repurchase agreements secured by U.S. Treasuries	$	503,114		$	300,994
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements	$	509,704		$	306,401
Weighted average haircut on U.S. Treasuries (1)	1.59		%	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 $1.726 billion and $1.375 billion of Non-Agency MBS acquired from consolidated VIEs at September 30, 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 September 30, 2012 and December 31, 2011:

	September 30, 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	$	6,821,216	0.62	%	$	5,220,740	0.54	%
Over 30 days to 3 months	1,859,753		1.27		2,570,119		0.77
Over 3 months to 6 months	151,357		2.45		—		—
Over 6 months to 12 months	—		—		22,300		3.15
Total	$	8,832,326	0.78	%	$	7,813,159	0.62	%

(1)  At September 30, 2012 and December 31, 2011, the Company had repurchase agreements of $36.4 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 September 30, 2012 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:

	September 30, 2012
Contractual Maturity			Weighted Average
(Dollars in Thousands)	Balance (1)		Interest Rate
Overnight	$	—	—	%
Within 30 days	6,679,373		0.58
Over 30 days to 90 days	1,441,613		0.94
Over 90 days to 12 months	240,479		1.60
Over 12 months	470,861		2.66
Total	$	8,832,326	0.78	%

(1)  At September 30, 2012, the Company had repurchase agreements of $36.4 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 September 30, 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 5% of stockholders’ equity at risk in the aggregate at September 30, 2012:

September 30, 2012
Counterparty	Counterparty	Amount at		Weighted Average Months to Maturity for Repurchase	Percent of Stockholders’
(Dollars in Thousands)	Rating (1)	Risk (2)		Agreements	Equity
Credit Suisse	A/Aa2/A	$	593,219	1	18.3	%
UBS (3) (4)	A/A2/A	305,865		32	9.4
Wells Fargo (5)	A+/A2/AA-	268,430		18	8.3
Deutsche Bank	A+/A2/A+	214,607		1	6.6

(1)  As rated at September 30, 2012 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 $297.7 million at risk with UBS AG and $8.2 million at risk with UBS Securities LLC.

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

(5) Includes $184.0 million with Wells Fargo Bank, NA and $84.4 million at risk with Wells Fargo Securities LLC.