Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Notes)

v2.4.0.8
Repurchase Agreements (Notes)
6 Months Ended
Jun. 30, 2014
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements
Repurchase Agreements
As of June 30, 2014, the Company had outstanding $11.4 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 0.69% and weighted average remaining maturities of 68 days as of June 30, 2014. As of December 31, 2013, the Company had outstanding $12.3 billion of repurchase agreements, including repurchase agreements funding the Company’s U.S. Treasuries of $997.5 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 0.75% and weighted average remaining maturities of 72 days as of December 31, 2013. As of June 30, 2014 and December 31, 2013, the debt associated with the Company’s U.S. Treasuries had a weighted average borrowing rate of 0.14% and 0.03%, respectively.
At June 30, 2014 and December 31, 2013, the repurchase agreement balances were as follows:
(in thousands)
June 30,
2014
 
December 31,
2013
Short-term
$
11,297,967

 
$
12,050,450

Long-term
93,220

 
200,000

Total
$
11,391,187

 
$
12,250,450



At June 30, 2014 and December 31, 2013, the repurchase agreements had the following characteristics:
(dollars in thousands)
 
June 30, 2014
 
December 31, 2013
Collateral Type
 
Amount Outstanding
 
Weighted Average Borrowing Rate
 
Amount Outstanding
 
Weighted Average Borrowing Rate
U.S. Treasuries
 
$
1,000,000

 
0.14
%
 
$
997,500

 
0.03
%
Agency RMBS
 
8,345,624

 
0.39
%
 
9,109,510

 
0.46
%
Non-Agency RMBS (1)
 
1,750,875

 
1.90
%
 
1,829,709

 
2.01
%
Agency derivatives
 
154,485

 
1.02
%
 
166,438

 
1.05
%
Mortgage loans held-for-sale
 
140,203

 
2.92
%
 
147,293

 
2.85
%
Total
 
$
11,391,187

 
0.64
%
 
$
12,250,450

 
0.69
%

____________________
(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.

At June 30, 2014 and December 31, 2013, the repurchase agreements had the following remaining maturities:
(in thousands)
June 30,
2014
 
December 31,
2013
Within 30 days
$
3,919,878

 
$
3,831,917

30 to 59 days
3,050,774

 
2,013,733

60 to 89 days
1,089,079

 
2,225,967

90 to 119 days
1,027,083

 
1,386,371

120 to 364 days
1,211,153

 
1,594,962

Open maturity (1)
1,000,000

 
997,500

One year and over (2)
93,220

 
200,000

Total
$
11,391,187

 
$
12,250,450

____________________
(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.
(2)
One year and over includes repurchase agreements with maturity dates of June 27, 2017.

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)
June 30,
2014
 
December 31,
2013
Available-for-sale securities, at fair value
$
11,470,783

 
$
12,295,302

Trading securities, at fair value
1,002,422

 
1,000,180

Mortgage loans held-for-sale, at fair value
174,255

 
200,839

Net economic interests in consolidated securitization trusts (1)
38,156

 

Cash and cash equivalents
15,000

 
15,000

Restricted cash
62,332

 
201,194

Due from counterparties
31,674

 
21,579

Derivative assets, at fair value
203,209

 
216,365

Total
$
12,997,831

 
$
13,950,459


____________________
(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 June 30, 2014 and December 31, 2013:
 
June 30, 2014
 
December 31, 2013
(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.
$
1,349,730

 
$
375,863

 
9
%
 
90.7

 
$
1,453,396

 
$
302,744

 
8
%
 
74.6

All other counterparties (2) (3)
9,041,457

 
1,232,788

 
30
%
 
65.1

 
9,799,554

 
1,372,086

 
36
%
 
71.9

Total
$
10,391,187

 
$
1,608,651

 
 
 
 
 
$
11,252,950

 
$
1,674,830

 
 
 
 
____________________
(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 June 30, 2014, the Company had $8.0 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..
(2)
Excludes $1.0 billion and $997.5 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity as of June 30, 2014 and December 31, 2013, respectively.
(3)
Represents amounts outstanding with 23 and 19 counterparties at June 30, 2014 and December 31, 2013, respectively.

The Company does not anticipate any defaults by its repurchase agreement counterparties.