Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Notes)

v2.4.1.9
Repurchase Agreements (Notes)
3 Months Ended
Mar. 31, 2015
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements
Repurchase Agreements
As of March 31, 2015, the Company had outstanding $13.1 billion of repurchase agreements, including repurchase agreements funding the Company’s U.S. Treasuries of $2.0 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 0.70% and weighted average remaining maturities of 69 days as of March 31, 2015. As of December 31, 2014, the Company had outstanding $12.9 billion of repurchase agreements, including repurchase agreements funding the Company’s U.S. Treasuries of $2.0 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 0.72% and weighted average remaining maturities of 64 days as of December 31, 2014. As of March 31, 2015 and December 31, 2014, the debt associated with the Company’s U.S. Treasuries had a weighted average borrowing rate of 0.32% and 0.23%, respectively.
At March 31, 2015 and December 31, 2014, the repurchase agreement balances were as follows:
(in thousands)
March 31,
2015
 
December 31,
2014
Short-term
$
12,996,589

 
$
12,839,242

Long-term
98,289

 
93,221

Total
$
13,094,878

 
$
12,932,463



At March 31, 2015 and December 31, 2014, the repurchase agreements had the following characteristics:
(dollars in thousands)
 
March 31, 2015
 
December 31, 2014
Collateral Type
 
Amount Outstanding
 
Weighted Average Borrowing Rate
 
Amount Outstanding
 
Weighted Average Borrowing Rate
U.S. Treasuries
 
$
2,001,250

 
0.32
%
 
$
1,996,250

 
0.23
%
Agency RMBS
 
8,761,087

 
0.42
%
 
8,458,572

 
0.42
%
Non-Agency RMBS (1)
 
2,187,369

 
1.81
%
 
2,324,395

 
1.79
%
Agency derivatives
 
133,611

 
1.01
%
 
138,133

 
0.99
%
Residential mortgage loans held-for-sale
 
11,561

 
2.58
%
 
15,113

 
3.03
%
Total
 
$
13,094,878

 
0.65
%
 
$
12,932,463

 
0.64
%

____________________
(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 March 31, 2015 and December 31, 2014, the repurchase agreements had the following remaining maturities:
(in thousands)
March 31,
2015
 
December 31,
2014
Within 30 days
$
3,490,440

 
 
$
3,979,317

30 to 59 days
4,030,473

 
 
4,595,425

60 to 89 days
1,508,512

 
 
903,286

90 to 119 days
826,026

 
 
434,550

120 to 364 days
2,139,888

 
 
1,929,164

Open maturity (1)
1,001,250

 
 
997,500

One year and over
98,289

(2) 
 
93,221

Total
$
13,094,878

 
 
$
12,932,463

____________________
(1)
Includes repurchase agreements collateralized by U.S. Treasuries with 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 a maturity date of June 25, 2016.

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)
March 31,
2015
 
December 31,
2014
Available-for-sale securities, at fair value
$
12,016,784

 
$
11,874,783

Trading securities, at fair value
2,010,000

 
1,997,656

Residential mortgage loans held-for-sale, at fair value
13,162

 
19,123

Net economic interests in consolidated securitization trusts (1)
359,416

 
363,564

Cash and cash equivalents
14,669

 
14,117

Restricted cash
89,959

 
112,435

Due from counterparties
28,299

 
32,495

Derivative assets, at fair value
186,811

 
185,067

Total
$
14,719,100

 
$
14,599,240


____________________
(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 March 31, 2015 and December 31, 2014:
 
March 31, 2015
 
December 31, 2014
(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
$
1,284,065

 
$
344,167

 
8
%
 
73.1

 
$
1,373,549

 
$
401,194

 
10
%
 
83.8

Barclays Capital Inc.
799,269

 
298,274

 
7
%
 
45.2

 
1,346,085

 
365,879

 
9
%
 
50.5

All other counterparties (2) (3)
10,010,294

 
990,372

 
24
%
 
66.5

 
9,215,329

 
907,066

 
22
%
 
57.7

Total
$
12,093,628

 
$
1,632,813

 
 
 
 
 
$
11,934,963

 
$
1,674,139

 
 
 
 
____________________
(1)
Represents the net carrying value of the securities and residential 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. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both March 31, 2015 and December 31, 2014, the Company did not have any such payables.
(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 March 31, 2015 and December 31, 2014, respectively.
(3)
Represents amounts outstanding with 22 and 23 counterparties at March 31, 2015 and December 31, 2014, 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.