Borrowings (Tables)

6 Months Ended

Jun. 30, 2014

The following table summarizes certain characteristics of the Company’s borrowings at June 30, 2014 and December 31, 2013:



$ in thousands	June 30, 2014				December 31, 2013
				Weighted				Weighted
		Weighted		Average		Weighted		Average
		Average		Remaining		Average		Remaining
	Amount	Interest		Maturity	Amount	Interest		Maturity
	Outstanding	Rate		(days)	Outstanding	Rate		(days)
Repurchase Agreements:
Agency RMBS	10,031,609	0.32	%	20	10,281,154	0.38	%	19
Non-Agency RMBS	2,711,799	1.54	%	30	3,066,356	1.55	%	33
GSE CRT	347,447	1.56	%	41	21,708	1.50	%	42
CMBS	1,632,368	1.37	%	22	2,082,457	1.39	%	23
Secured Loans	625,000	0.25	%	101	—	—	%	0
Exchangeable Senior Notes	400,000	5.00	%	1,354	400,000	5.00	%	1,535
Total	15,748,223	0.78	%	59	15,851,675	0.86	%	60

Schedule of Repurchase Agreements by Counterparties

The following tables summarize certain characteristics of the Company’s repurchase agreements at June 30, 2014 and December 31, 2013:



June 30, 2014
$ in thousands Repurchase Agreement Counterparties	Amount Outstanding	Percent of Total Amount Outstanding		Company MBS Held as Collateral
Credit Suisse Securities (USA) LLC	1,635,598	11.0	%	2,045,230	⁽¹	⁾
South Street Securities LLC	1,058,257	7.2	%	1,113,213
Banc of America Securities LLC	951,719	6.5	%	1,038,176
Citigroup Global Markets Inc.	903,037	6.1	%	1,049,651
Wells Fargo Securities, LLC	888,022	6.0	%	1,060,729
HSBC Securities (USA) Inc	811,137	5.5	%	836,622
JP Morgan Securities Inc.	758,758	5.2	%	876,577
Pierpont Securities LLC	696,734	4.7	%	725,832
ING Financial Market LLC	680,130	4.6	%	723,067
Industrial and Commercial Bank of China Financial Services LLC	668,172	4.5	%	703,348
Mitsubishi UFJ Securities (USA), Inc.	663,555	4.5	%	698,836
Royal Bank of Canada	645,074	4.4	%	778,212
Morgan Stanley & Co. Incorporated	644,052	4.4	%	698,930
Scotia Capital	606,928	4.1	%	635,314
RBS Securities Inc.	585,658	4.0	%	712,227
BNP Paribas Securities Corp.	533,500	3.6	%	595,846
Nomura Securities International, Inc.	449,541	3.1	%	475,390
Deutsche Bank Securities Inc.	413,703	2.8	%	467,375
KGS-Alpha Capital Markets, L.P.	308,908	2.1	%	326,124
Goldman, Sachs & Co.	229,246	1.6	%	244,063
Guggenheim Liquidity Services, LLC	130,533	0.9	%	138,522
Barclays Capital Inc.	116,827	0.8	%	138,148
Cantor Fitzgerald & Co.	111,921	0.8	%	119,656
Daiwa Capital Markets America Inc	105,476	0.7	%	111,207
TD Securities	68,146	0.5	%	72,467
Mizuho Securities USA Inc.	58,591	0.4	%	70,720
Total	14,723,223	100.0	%	16,455,482

(1) Includes $268.8 million of MBS held as collateral which are eliminated in consolidation.



December 31, 2013
$ in thousands Repurchase Agreement Counterparties	Amount Outstanding	Percent of Total Amount Outstanding		Company MBS Held as Collateral
Credit Suisse Securities (USA) LLC	1,809,896	11.8	%	2,203,883	⁽¹	⁾
South Street Securities LLC	1,236,812	8.0	%	1,286,384
Banc of America Securities LLC	1,043,689	6.8	%	1,146,151
Citigroup Global Markets Inc.	1,027,210	6.6	%	1,164,162
JP Morgan Securities Inc.	875,201	5.7	%	1,001,116
Wells Fargo Securities, LLC	857,824	5.6	%	996,151
Pierpont Securities LLC	791,572	5.1	%	824,184
HSBC Securities (USA) Inc.	787,462	5.1	%	809,230
RBS Securities Inc.	720,457	4.7	%	854,978
Royal Bank of Canada	710,705	4.6	%	850,870
Morgan Stanley & Co. Incorporated	691,599	4.5	%	758,761
ING Financial Market LLC	676,644	4.4	%	718,086
Mitsubishi UFJ Securities (USA), Inc.	625,703	4.0	%	656,046
Nomura Securities International, Inc.	578,265	3.7	%	608,193
Industrial and Commercial Bank of China Financial Services LLC	493,906	3.2	%	518,775
BNP Paribas Securities Corp.	471,372	3.1	%	499,106
Scotia Capital	443,534	2.9	%	461,066
Deutsche Bank Securities Inc.	423,405	2.7	%	468,939
Goldman, Sachs & Co.	404,094	2.6	%	423,598
KGS-Alpha Capital Markets, L.P.	202,677	1.3	%	214,033
Barclays Capital Inc.	156,904	1.0	%	165,605
TD Securities	155,099	1.0	%	163,512
Daiwa Capital Markets America Inc.	112,309	0.7	%	117,551
Cantor Fitzgerald & Co.	68,261	0.4	%	71,910
Mizuho Securities USA Inc.	53,962	0.3	%	62,423
Guggenheim Liquidity Services, LLC	33,113	0.2	%	34,664
Total	15,451,675	100.0	%	17,079,377

(1) Includes $133.8 million of MBS held as collateral which are eliminated in consolidation.

Schedule of Maturities for FHLB Advances

As of June 30, 2014, IAS Services LLC's FHLBI advances had the following remaining maturities:



$ in thousands	June 30, 2014
≤ 30 days	—
> 30 days and ≤ 90 days	215,000
> 90 days (1)	410,000
Total	625,000

(1) Greater than 90 days includes FHLB advances with maturity dates of 129 days.

Carrying Value of Assets Backed Securities Issued

The following table provides summary information of the carrying value of the ABS, along with other relevant information, at June 30, 2014.



	ABS		Residential loans
$ in thousands	Outstanding		Held as Collateral
Principal balance	2,001,751		2,287,914
Interest-only securities	13,939		—
Unamortized premium	12,983		33,020
Unamortized discount	(11,750	)	(9,207	)
Loan loss reserve	—		(1,041	)
Carrying value	2,016,923		2,310,686
Range of weighted average interest rates	2.9% - 4.0%
Number of series	7

Principal Repayment of Mortgage Loans



	ABS		Residential loans
$ in thousands	Outstanding		Held as Collateral
Principal balance	2,001,751		2,287,914
Interest-only securities	13,939		—
Unamortized premium	12,983		33,020
Unamortized discount	(11,750	)	(9,207	)
Loan loss reserve	—		(1,041	)
Carrying value	2,016,923		2,310,686
Range of weighted average interest rates	2.9% - 4.0%
Number of series	7

The following table presents the estimated principal repayment schedule of the VIEs' ABS at June 30, 2014, based on estimated cash flows of the residential mortgage loans, as adjusted for projected prepayments and losses on such loans.



$ in thousands
Estimated principal repayment	June 30, 2014
Within one year	210,975
One to three years	366,263
Three to five years	298,450
Greater than or equal to five years	1,126,063
Total	2,001,751