Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Tables)

v3.5.0.2
Repurchase Agreements (Tables)
9 Months Ended
Sep. 30, 2016
Disclosure of Repurchase Agreements [Abstract]  
Schedule Of Repurchase Agreements By Term, Short Or Long [Table Text Block]
At September 30, 2016 and December 31, 2015, the repurchase agreement balances were as follows:
(in thousands)
September 30,
2016
 
December 31,
2015
Short-term
$
10,414,745

 
$
5,008,274

Long-term
222,628

 

Total
$
10,637,373

 
$
5,008,274

Schedule of Repurchase Agreements by Maturity [Table Text Block]
At September 30, 2016 and December 31, 2015, the repurchase agreements had the following characteristics and remaining maturities:
 
September 30, 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
$
3,341,276

 
$
588,934

 
$
15,385

 
$

 
$
21,933

 
$
3,967,528

30 to 59 days
2,595,970

 
207,856

 
65,018

 

 
27,820

 
2,896,664

60 to 89 days
1,185,026

 

 

 

 

 
1,185,026

90 to 119 days
622,725

 
373,474

 
16,373

 

 

 
1,012,572

120 to 364 days
1,116,541

 
218,431

 
17,983

 

 

 
1,352,955

One year and over

 

 

 

 
222,628

 
222,628

Total
$
8,861,538

 
$
1,388,695

 
$
114,759

 
$

 
$
272,381

 
$
10,637,373

Weighted average borrowing rate
0.79
%
 
2.41
%
 
1.60
%
 
%
 
2.93
%
 
1.06
%
 
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)
September 30,
2016
 
December 31,
2015
Available-for-sale securities, at fair value
$
11,115,563

 
$
5,354,104

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

 
9,543

Commercial real estate assets
399,594

 
108,958

Net economic interests in consolidated securitization trusts (1)
218,971

 
274,949

Cash and cash equivalents
12,094

 
15,000

Restricted cash
95,223

 
119,310

Due from counterparties
29,477

 
10,211

Derivative assets, at fair value
140,868

 
157,879

Total
$
12,011,790

 
$
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 September 30, 2016 and December 31, 2015:
 
September 30, 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
$
1,202,327

 
$
260,862

 
7
%
 
76.4

 
$
799,527

 
$
217,677

 
6
%
 
31.5

All other counterparties (2)
9,435,046

 
1,115,813

 
32
%
 
68.1

 
4,208,747

 
818,108

 
23
%
 
36.2

Total
$
10,637,373

 
$
1,376,675

 
 
 
 
 
$
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. However, at both September 30, 2016 and December 31, 2015, the Company did not have any such payables.
(2)
Represents amounts outstanding with 21 and 20 counterparties at September 30, 2016 and December 31, 2015, respectively.