| Repurchase Agreements |
Repurchase Agreements
The Company had outstanding $12.2 billion of repurchase agreements, including repurchase agreements funding the Company’s U.S. Treasuries of $996.3 million. 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 0.71% and weighted average remaining maturities of 76 days as of September 30, 2013. The Company had outstanding $12.6 billion of repurchase agreements with a weighted average borrowing rate of 0.76%, excluding the debt associated with the Company’s U.S. Treasuries and the effect of the Company’s interest rate swaps, and weighted average remaining maturities of 85 days as of December 31, 2012. As of September 30, 2013 and December 31, 2012, the debt associated with the Company’s U.S. Treasuries had a weighted average borrowing rate of 0.09% and 0.30%, respectively.
At September 30, 2013 and December 31, 2012, the repurchase agreement balances were as follows:
|
|
|
|
|
|
|
|
|
(in thousands) |
September 30,
2013 |
|
December 31,
2012 |
Short-term |
$ |
11,952,065 |
|
|
$ |
12,424,510 |
|
Long-term |
200,000 |
|
|
200,000 |
|
Total |
$ |
12,152,065 |
|
|
$ |
12,624,510 |
|
At September 30, 2013 and December 31, 2012, the repurchase agreements had the following characteristics:
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|
(dollars in thousands) |
|
September 30, 2013 |
|
December 31, 2012 |
Collateral Type |
|
Amount Outstanding |
|
Weighted Average Borrowing Rate |
|
Amount Outstanding |
|
Weighted Average Borrowing Rate |
U.S. Treasuries |
|
$ |
996,250 |
|
|
0.09 |
% |
|
$ |
997,500 |
|
|
0.30 |
% |
Agency RMBS AFS |
|
9,251,556 |
|
|
0.45 |
% |
|
10,171,385 |
|
|
0.54 |
% |
Non-Agency RMBS |
|
1,714,491 |
|
|
2.07 |
% |
|
1,177,675 |
|
|
2.50 |
% |
Agency derivatives |
|
173,579 |
|
|
1.02 |
% |
|
228,241 |
|
|
1.16 |
% |
Mortgage loans held-for-sale |
|
16,189 |
|
|
2.55 |
% |
|
49,709 |
|
|
2.46 |
% |
Total |
|
$ |
12,152,065 |
|
|
0.66 |
% |
|
$ |
12,624,510 |
|
|
0.72 |
% |
At September 30, 2013 and December 31, 2012, the repurchase agreements had the following remaining maturities:
|
|
|
|
|
|
|
|
|
(in thousands) |
September 30,
2013 |
|
December 31,
2012 |
Within 30 days |
$ |
2,911,117 |
|
|
$ |
3,038,229 |
|
30 to 59 days |
4,730,641 |
|
|
3,528,393 |
|
60 to 89 days |
88,560 |
|
|
1,731,595 |
|
90 to 119 days |
1,566,860 |
|
|
849,621 |
|
120 to 364 days |
1,658,637 |
|
|
2,279,172 |
|
Open maturity (1)
|
996,250 |
|
|
997,500 |
|
One year and over (2)
|
200,000 |
|
|
200,000 |
|
Total |
$ |
12,152,065 |
|
|
$ |
12,624,510 |
|
____________________
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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 ranging from June 26, 2015 to June 27, 2016.
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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,
2013 |
|
December 31,
2012 |
Available-for-sale securities, at fair value |
$ |
12,239,599 |
|
|
$ |
12,810,355 |
|
Trading securities, at fair value |
1,000,625 |
|
|
1,002,062 |
|
Mortgage loans held-for-sale |
18,982 |
|
|
52,529 |
|
Cash and cash equivalents |
15,000 |
|
|
10,000 |
|
Restricted cash |
259,642 |
|
|
84,307 |
|
Due from counterparties |
103,682 |
|
|
36,917 |
|
Derivative assets, at fair value |
221,402 |
|
|
291,054 |
|
Total |
$ |
13,858,932 |
|
|
$ |
14,287,224 |
|
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, 2013 and December 31, 2012:
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September 30, 2013 |
|
December 31, 2012 |
(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 |
Barclays Capital Inc. |
$ |
1,293,826 |
|
|
$ |
300,824 |
|
|
8 |
% |
|
41.1 |
|
|
$ |
1,127,888 |
|
|
$ |
257,858 |
|
|
7 |
% |
|
90.3 |
|
All other counterparties (2) (3)
|
9,861,989 |
|
|
1,381,138 |
|
|
37 |
% |
|
81.0 |
|
|
10,499,122 |
|
|
1,403,268 |
|
|
41 |
% |
|
84.0 |
|
Total |
$ |
11,155,815 |
|
|
$ |
1,681,962 |
|
|
|
|
|
|
$ |
11,627,010 |
|
|
$ |
1,661,126 |
|
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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, 2013 and December 31, 2012, the Company had $43.5 million and $291.7 million, respectively, in payables due to broker counterparties for unsettled securities purchases. The payables are not included in the amounts presented above.
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(2) |
Excludes $996.3 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity.
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(3) |
Represents amounts outstanding with 20 and 21 counterparties at September 30, 2013 and December 31, 2012, respectively.
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The Company does not anticipate any defaults by its repurchase agreement counterparties.
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