TWO Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Notes)

Repurchase Agreements (Notes)

9 Months Ended

Sep. 30, 2016

Disclosure of Repurchase Agreements [Abstract]

As of September 30, 2016 and December 31, 2015, the Company had outstanding $10.6 billion and $5.0 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 1.06% and 1.10% and weighted average remaining maturities of 69 and 35 days as of September 30, 2016 and December 31, 2015, respectively.

At September 30, 2016 and December 31, 2015, the repurchase agreement balances were as follows:



(in thousands)	September 30, 2016		December 31, 2015
Short-term	$	10,414,745	$	5,008,274
Long-term	222,628		—
Total	$	10,637,373	$	5,008,274

At September 30, 2016 and December 31, 2015, the repurchase agreements had the following characteristics and remaining maturities:



	September 30, 2016
	Collateral Type
(in thousands)	Agency RMBS			Non-Agency RMBS ⁽¹⁾			Agency Derivatives			Residential Mortgage Loans Held-for-Sale			Commercial Real Estate Assets			Total Amount Outstanding
Within 30 days	$	3,341,276		$	588,934		$	15,385		$	—		$	21,933		$	3,967,528
30 to 59 days	2,595,970			207,856			65,018			—			27,820			2,896,664
60 to 89 days	1,185,026			—			—			—			—			1,185,026
90 to 119 days	622,725			373,474			16,373			—			—			1,012,572
120 to 364 days	1,116,541			218,431			17,983			—			—			1,352,955
One year and over	—			—			—			—			222,628			222,628
Total	$	8,861,538		$	1,388,695		$	114,759		$	—		$	272,381		$	10,637,373
Weighted average borrowing rate	0.79		%	2.41		%	1.60		%	—		%	2.93		%	1.06		%



	December 31, 2015
	Collateral Type
(in thousands)	Agency RMBS			Non-Agency RMBS ⁽¹⁾			Agency Derivatives			Residential Mortgage Loans Held-for-Sale			Commercial Real Estate Assets			Total Amount Outstanding
Within 30 days	$	1,719,292		$	852,436		$	58,286		$	—		$	59,349		$	2,689,363
30 to 59 days	1,407,353			271,819			60,065			—			—			1,739,237
60 to 89 days	143,051			15,691			2,707			—			—			161,449
90 to 119 days	68,014			106,007			1,465			—			—			175,486
120 to 364 days	—			234,229			—			8,510			—			242,739
Total	$	3,337,710		$	1,480,182		$	122,523		$	8,510		$	59,349		$	5,008,274
Weighted average borrowing rate	0.65		%	2.03		%	1.18		%	2.87		%	2.62		%	1.10		%

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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.

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



(in thousands)	September 30, 2016		December 31, 2015
Available-for-sale securities, at fair value	$	11,115,563	$	5,354,104
Residential mortgage loans held-for-sale, at fair value	—		9,543
Commercial real estate assets	399,594		108,958
Net economic interests in consolidated securitization trusts ⁽¹⁾	218,971		274,949
Cash and cash equivalents	12,094		15,000
Restricted cash	95,223		119,310
Due from counterparties	29,477		10,211
Derivative assets, at fair value	140,868		157,879
Total	$	12,011,790	$	6,049,954

____________________


(1)	Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP.

Although the transactions under repurchase agreements represent 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 September 30, 2016 and December 31, 2015:



	September 30, 2016							December 31, 2015
(dollars in thousands)	Amount Outstanding		Net Counterparty Exposure ⁽¹⁾		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	$	1,202,327	$	260,862	7	%	76.4	$	799,527	$	217,677	6	%	31.5
All other counterparties⁽²⁾	9,435,046		1,115,813		32	%	68.1	4,208,747		818,108		23	%	36.2
Total	$	10,637,373	$	1,376,675				$	5,008,274	$	1,035,785

____________________

(1)

Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate assets 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. However, at both September 30, 2016 and December 31, 2015, the Company did not have any such payables.


(2)	Represents amounts outstanding with 21 and 20 counterparties at September 30, 2016 and December 31, 2015, respectively.

The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur.