Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

 v2.3.0.11
Repurchase Agreements
 6 Months Ended
Jun. 30, 2011
Repurchase Agreements [Abstract]  
Repurchase Agreements
Repurchase Agreements
The Company had outstanding $4.8 billion of repurchase agreements, including repurchase agreements funding the Company's U.S. Treasuries of $1.0 billion. Excluding the debt associated with the Company's U.S. Treasuries and the effect of the Company's interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 0.52% and weighted average remaining maturities of 86 days as of June 30, 2011. The Company had outstanding $1.2 billion of repurchase agreements with a weighted average borrowing rate of 0.74% excluding the effect of the Company's interest rate swaps, and weighted average remaining maturities of 90 days as of December 31, 2010. As of June 30, 2011 and December 31, 2010, the debt associated with the Company's U.S. Treasuries had a weighted average borrowing rate of 0.07% and 0.28%, respectively.
At June 30, 2011 and December 31, 2010, the repurchase agreements had the following characteristics:

(dollars in thousands)
 
June 30, 2011
 
December 31, 2010
Collateral Type
 
Amount Outstanding
 
Weighted Average Borrowing Rate
 
Amount Outstanding
 
Weighted Average Borrowing Rate
U.S. Treasuries
 
$
1,019,400

 
0.07
%
 
$
198,750

 
0.28
%
Agency RMBS
 
3,355,189

 
0.32
%
 
745,861

 
0.37
%
Non-Agency RMBS
 
375,613

 
2.24
%
 
201,976

 
2.05
%
Agency derivatives
 
77,000

 
0.87
%
 
23,216

 
1.07
%
Total
 
$
4,827,202

 
0.42
%
 
$
1,169,803

 
0.66
%

As of June 30, 2011, the Company's amounts outstanding under repurchase agreements includes $64.3 million of borrowings under the 364-day repurchase facility with Wells Fargo Bank National Association, or Wells Fargo. As of June 30, 2011, the facility provided an aggregate maximum borrowing capacity of $75 million and it was set to mature on August 3, 2011. See Note 16 - Subsequent Events. The facility is collateralized by non-Agency RMBS and its weighted average borrowing rate as of June 30, 2011 was 1.9%. The facility also subjects the Company to maintain certain financial covenants under the guaranty agreement with Wells Fargo. As of June 30, 2011, the Company is in compliance with these covenants.
As of June 30, 2011, the Company does not have any borrowings outstanding under the 364-day repurchase facility with Barclays Bank PLC, or Barclays. The facility provides an aggregate maximum borrowing capacity of $100 million and it is set to mature on May 16, 2012, unless extended pursuant to its terms. The facility will be collateralized by eligible residential mortgage loans, which will be subject to margin call provisions that provide Barclays with certain rights when there has been a decline in the market value of the purchased mortgage loans. The facility also subjects the Company to maintain certain financial covenants under the guaranty agreement with Barclays. As of June 30, 2011, the Company is in compliance with these covenants.
At June 30, 2011 and December 31, 2010, the repurchase agreements had the following remaining maturities:
(in thousands)
June 30,
2011
 
December 31,
2010
Within 30 days
$
1,223,115

 
$
197,286

30 to 59 days (1)
325,876

 
211,556

60 to 89 days
603,752

 
117,621

90 to 119 days
718,158

 
152,433

Over 120 days
936,901

 
292,157

Open maturity (2)
1,019,400

 
198,750

Total
$
4,827,202

 
$
1,169,803

____________________
(1)
30 to 59 days includes the amounts outstanding under the Wells Fargo 364-day borrowing facility.
(2)
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.

The following table summarizes assets at carrying value that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:

(in thousands)
June 30,
2011
 
December 31,
2010
Available-for-sale securities, at fair value
$
4,114,269

 
$
1,090,598

Trading securities, at fair value
1,022,394

 
199,523

Cash and cash equivalents
15,000

 
14,467

Restricted cash
18,152

 
11,634

Due from counterparties
13,237

 
10,508

Derivative assets, at fair value
107,006

 
30,534

Total
$
5,290,058

 
$
1,357,264

Although the repurchase agreements are committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls.
The following table summarizes certain characteristics of the Company's repurchase agreements and counterparty concentration at June 30, 2011 and December 31, 2010:

 
June 30, 2011
 
December 31, 2010
(dollars in thousands)
Amount Outstanding
 
Net Counterparty Exposure(1)
 
Percent of Equity
 
Amount Outstanding
 
Net Counterparty Exposure(1)
 
Percent of Equity
JP Morgan Chase
$
1,539,807

 
$
105,713

 
12
%
 
$
289,321

 
$
8,687

 
2
%
Barclays Capital Inc.
279,018

 
75,937

 
8
%
 
168,291

 
45,060

 
12
%
All other counterparties
3,008,377

 
281,343

 
31
%
 
712,191

 
123,439

 
32
%
Total
$
4,827,202

 
$
462,993

 
 
 
$
1,169,803

 
$
177,186

 
 
____________________
(1) Represents the net carrying value of the securities sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, over the amount of the repurchase liability, including accrued interest. At June 30, 2011 and December 31, 2010, the Company had $199.6 million and $231.7 million, respectively, in payables due to broker counterparties for unsettled security purchases. The payables are not included in the amounts presented above.
The Company does not anticipate any defaults by its repurchase agreement counterparties.