Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.3.0.814
Repurchase Agreements (Tables)
9 Months Ended
Sep. 30, 2015
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements by Term, Short or Long [Table Text Block]
At September 30, 2015 and December 31, 2014, the repurchase agreement balances were as follows:
(in thousands)
September 30,
2015
 
December 31,
2014
Short-term
$
7,982,928

 
$
12,839,242

Long-term

 
93,221

Total
$
7,982,928

 
$
12,932,463

Schedule of Repurchase Agreements by Maturity [Table Text Block]
At September 30, 2015 and December 31, 2014, the repurchase agreements had the following characteristics and remaining maturities:
 
September 30, 2015
 
Collateral Type
 
 
(in thousands)
Agency RMBS
 
Non-Agency RMBS (1)
 
Agency Derivatives
 
Residential Mortgage Loans Held-for-Sale
 
Commercial Real Estate Loans Held-for-Investment
 
Total Amount Outstanding
Within 30 days
$
2,717,900

 
$
579,474

 
$
19,900

 
$

 
$
22,855

 
$
3,340,129

30 to 59 days
1,882,319

 
521,160

 
20,868

 

 

 
2,424,347

60 to 89 days

 
15,609

 

 

 

 
15,609

90 to 119 days
528,128

 
440,772

 
40,298

 

 

 
1,009,198

120 to 364 days
724,100

 
418,310

 
42,680

 
8,555

 

 
1,193,645

Total
$
5,852,447

 
$
1,975,325

 
$
123,746

 
$
8,555

 
$
22,855

 
$
7,982,928

Weighted average borrowing rate
0.52
%
 
1.86
%
 
1.15
%
 
2.71
%
 
2.01
%
 
0.87
%
 
December 31, 2014
 
Collateral Type
 
(in thousands)
U.S Treasuries
 
Agency RMBS
 
Non-Agency RMBS (1)
 
Agency Derivatives
 
Residential Mortgage Loans Held-for-Sale
 
Total Amount Outstanding
Within 30 days
$
998,750

 
$
2,305,726

 
$
630,118

 
$
44,723

 
$

 
$
3,979,317

30 to 59 days

 
3,568,049

 
945,032

 
82,344

 

 
4,595,425

60 to 89 days

 
631,992

 
260,228

 
11,066

 

 
903,286

90 to 119 days

 
317,155

 
117,395

 

 

 
434,550

120 to 364 days

 
1,635,650

 
278,401

 

 
15,113

 
1,929,164

Open maturity (2)
997,500

 

 

 

 

 
997,500

One year and over

 

 
93,221

 

 

 
93,221

Total
$
1,996,250

 
$
8,458,572

 
$
2,324,395

 
$
138,133

 
$
15,113

 
$
12,932,463

Weighted average borrowing rate
0.23
%
 
0.42
%
 
1.79
%
 
0.99
%
 
3.03
%
 
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.
(2)
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.
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets [Table Text Block]
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,
2015
 
December 31,
2014
Available-for-sale securities, at fair value
$
8,532,509

 
$
11,874,783

Trading securities, at fair value

 
1,997,656

Residential mortgage loans held-for-sale, at fair value
9,677

 
19,123

Commercial real estate loans held-for-investment
45,651

 

Net economic interests in consolidated securitization trusts (1)
399,001

 
363,564

Cash and cash equivalents
15,000

 
14,117

Restricted cash
118,958

 
112,435

Due from counterparties
28,813

 
32,495

Derivative assets, at fair value
170,856

 
185,067

Total
$
9,320,465

 
$
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.
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity [Table Text Block]
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2015 and December 31, 2014:
 
September 30, 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
$
1,213,331

 
$
325,870

 
9
%
 
60.9

 
$
1,373,549

 
$
401,194

 
10
%
 
83.8

Barclays Capital Inc.
716,166

 
261,723

 
7
%
 
43.0

 
1,346,085

 
365,879

 
9
%
 
50.5

All other counterparties (2) (3)
6,053,431

 
753,256

 
20
%
 
57.6

 
9,215,329

 
907,066

 
22
%
 
57.7

Total
$
7,982,928

 
$
1,340,849

 
 
 
 
 
$
11,934,963

 
$
1,674,139

 
 
 
 
____________________
(1)
Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate loans held-for-investment 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 September 30, 2015 and December 31, 2014, the Company did not have any such payables.
(2)
Excludes $997.5 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity as of December 31, 2014.
(3)
Represents amounts outstanding with 19 and 23 counterparties at September 30, 2015 and December 31, 2014, respectively.