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Repurchase Agreements (Tables)
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9 Months Ended |
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Sep. 30, 2014
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| Disclosure of Repurchase Agreements [Abstract] |
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| Schedule of Repurchase Agreements by Term, Short or Long [Table Text Block] |
At September 30, 2014 and December 31, 2013, the repurchase agreement balances were as follows:
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|
(in thousands) |
September 30,
2014 |
|
December 31,
2013 |
Short-term |
$ |
12,181,658 |
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|
$ |
12,050,450 |
|
Long-term |
93,220 |
|
|
200,000 |
|
Total |
$ |
12,274,878 |
|
|
$ |
12,250,450 |
|
|
| Schedule of Repurchase Agreements by Collateral Type [Table Text Block] |
At September 30, 2014 and December 31, 2013, the repurchase agreements had the following characteristics:
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|
(dollars in thousands) |
|
September 30, 2014 |
|
December 31, 2013 |
Collateral Type |
|
Amount Outstanding |
|
Weighted Average Borrowing Rate |
|
Amount Outstanding |
|
Weighted Average Borrowing Rate |
U.S. Treasuries |
|
$ |
1,986,250 |
|
|
(0.97 |
)% |
|
$ |
997,500 |
|
|
0.03 |
% |
Agency RMBS |
|
8,142,314 |
|
|
0.41 |
% |
|
9,109,510 |
|
|
0.46 |
% |
Non-Agency RMBS (1)
|
|
1,987,034 |
|
|
1.86 |
% |
|
1,829,709 |
|
|
2.01 |
% |
Agency derivatives |
|
142,079 |
|
|
1.00 |
% |
|
166,438 |
|
|
1.05 |
% |
Mortgage loans held-for-sale |
|
17,201 |
|
|
3.11 |
% |
|
147,293 |
|
|
2.85 |
% |
Total |
|
$ |
12,274,878 |
|
|
0.43 |
% |
|
$ |
12,250,450 |
|
|
0.69 |
% |
____________________
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|
(1) |
Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
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| Schedule of Repurchase Agreements by Maturity [Table Text Block] |
At September 30, 2014 and December 31, 2013, the repurchase agreements had the following remaining maturities:
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|
(in thousands) |
September 30,
2014 |
|
December 31,
2013 |
Within 30 days |
$ |
2,906,285 |
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|
|
$ |
3,831,917 |
|
30 to 59 days |
2,860,071 |
|
|
|
2,013,733 |
|
60 to 89 days |
— |
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|
|
2,225,967 |
|
90 to 119 days |
2,289,504 |
|
|
|
1,386,371 |
|
120 to 364 days |
3,132,048 |
|
|
|
1,594,962 |
|
Open maturity (1)
|
993,750 |
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|
997,500 |
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One year and over |
93,220 |
|
(2) |
|
200,000 |
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Total |
$ |
12,274,878 |
|
|
|
$ |
12,250,450 |
|
____________________
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|
(1) |
Repurchase agreements collateralized by U.S. Treasuries include an open maturity period (i.e., rolling 1-day maturity) renewable at the discretion of either party to the agreements.
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(2) |
One year and over includes repurchase agreements with maturity dates of June 25, 2016.
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| Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets [Table Text Block] |
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:
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|
(in thousands) |
September 30,
2014 |
|
December 31,
2013 |
Available-for-sale securities, at fair value |
$ |
11,185,800 |
|
|
$ |
12,295,302 |
|
Trading securities, at fair value |
1,993,124 |
|
|
1,000,180 |
|
Mortgage loans held-for-sale, at fair value |
20,710 |
|
|
200,839 |
|
Net economic interests in consolidated securitization trusts (1)
|
301,549 |
|
|
— |
|
Cash and cash equivalents |
15,000 |
|
|
15,000 |
|
Restricted cash |
93,295 |
|
|
201,194 |
|
Due from counterparties |
23,070 |
|
|
21,579 |
|
Derivative assets, at fair value |
184,924 |
|
|
216,365 |
|
Total |
$ |
13,817,472 |
|
|
$ |
13,950,459 |
|
____________________
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|
(1) |
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
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| Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity [Table Text Block] |
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2014 and December 31, 2013:
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September 30, 2014 |
|
December 31, 2013 |
(dollars in thousands) |
Amount Outstanding |
|
Net Counterparty Exposure (1)
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|
Percent of Equity |
|
Weighted Average Days to Maturity |
|
Amount Outstanding |
|
Net Counterparty Exposure (1)
|
|
Percent of Equity |
|
Weighted Average Days to Maturity |
Royal Bank of Canada |
$ |
1,280,084 |
|
|
$ |
393,951 |
|
|
10 |
% |
|
93.1 |
|
|
$ |
980,464 |
|
|
$ |
264,745 |
|
|
7 |
% |
|
88.2 |
|
Barclays Capital Inc. |
1,119,776 |
|
|
270,340 |
|
|
7 |
% |
|
78.9 |
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|
1,453,396 |
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|
302,744 |
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|
8 |
% |
|
74.6 |
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All other counterparties (2) (3)
|
8,881,268 |
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|
885,887 |
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|
22 |
% |
|
85.0 |
|
|
8,819,090 |
|
|
1,107,341 |
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|
29 |
% |
|
71.2 |
|
Total |
$ |
11,281,128 |
|
|
$ |
1,550,178 |
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|
$ |
11,252,950 |
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|
$ |
1,674,830 |
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____________________
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(1) |
Represents the net carrying value of the securities and mortgage loans held-for-sale sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. At September 30, 2014, the Company had $31.1 million in payables due to broker counterparties for unsettled securities purchases. The payables are not included in the amounts presented above. At December 31, 2013, the Company did not have any payables due to broker counterparties for unsettled securities purchases..
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(2) |
Excludes $993.8 million and $997.5 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity as of September 30, 2014 and December 31, 2013, respectively.
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(3) |
Represents amounts outstanding with 23 and 18 counterparties at September 30, 2014 and December 31, 2013, respectively.
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