Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.4.0.3
Repurchase Agreements (Tables)
3 Months Ended
Mar. 31, 2016
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Repurchase Agreements by Maturity [Table Text Block]
At March 31, 2016 and December 31, 2015, the repurchase agreements had the following characteristics and remaining maturities:
 
March 31, 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
$
1,625,350

 
$
659,316

 
$
37,217

 
$

 
$
57,587

 
$
2,379,470

30 to 59 days
1,876,163

 
173,895

 
38,341

 
29,313

 

 
2,117,712

60 to 89 days
528,152

 
103,848

 

 

 

 
632,000

90 to 119 days
12,455

 
166,897

 
17,473

 

 

 
196,825

120 to 364 days
565,313

 
176,037

 
20,060

 

 

 
761,410

One year and over

 

 

 

 
102,435

 
102,435

Total
$
4,607,433

 
$
1,279,993

 
$
113,091

 
$
29,313

 
$
160,022

 
$
6,189,852

Weighted average borrowing rate
0.77
%
 
2.26
%
 
1.48
%
 
2.69
%
 
2.87
%
 
1.15
%
 
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
%
____________________
(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.
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)
March 31,
2016
 
December 31,
2015
Available-for-sale securities, at fair value
$
6,472,159

 
$
5,354,104

Residential mortgage loans held-for-sale, at fair value
31,681

 
9,543

Commercial real estate assets
245,548

 
108,958

Net economic interests in consolidated securitization trusts (1)
274,718

 
274,949

Cash and cash equivalents
15,000

 
15,000

Restricted cash
50,543

 
119,310

Due from counterparties
22,401

 
10,211

Derivative assets, at fair value
157,212

 
157,879

Total
$
7,269,262

 
$
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.
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 March 31, 2016 and December 31, 2015:
 
March 31, 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
$
691,801

 
$
205,517

 
6
%
 
56.1

 
$
799,527

 
$
217,677

 
6
%
 
31.5

All other counterparties (2)
5,498,051

 
866,745

 
26
%
 
63.1

 
4,208,747

 
818,108

 
23
%
 
36.2

Total
$
6,189,852

 
$
1,072,262

 
 
 
 
 
$
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. Payables due to broker counterparties for unsettled securities purchases of $796.2 million as of March 31, 2016 are not included in the amounts presented above. The Company did not have any such payables as of December 31, 2015.
(2)
Represents amounts outstanding with 19 and 20 counterparties at March 31, 2016 and December 31, 2015, respectively.