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Repurchase Agreements (Tables)
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9 Months Ended |
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Sep. 30, 2012
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| Repurchase Agreements [Abstract] |
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| Schedule of Repurchase Agreements by Term, Short or Long [Table Text Block] |
At September 30, 2012 and December 31, 2011, the repurchase agreement balances were as follows:
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(in thousands) |
September 30,
2012 |
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December 31,
2011 |
Short-term |
$ |
13,754,327 |
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|
$ |
6,610,148 |
|
Long-term |
280,000 |
|
|
50,000 |
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Total |
$ |
14,034,327 |
|
|
$ |
6,660,148 |
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| Schedule of Repurchase Agreements by Collateral Type [Table Text Block] |
At September 30, 2012 and December 31, 2011, the repurchase agreements had the following characteristics:
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(dollars in thousands) |
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September 30, 2012 |
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December 31, 2011 |
Collateral Type |
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Amount Outstanding |
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Weighted Average Borrowing Rate |
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Amount Outstanding |
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Weighted Average Borrowing Rate |
U.S. Treasuries |
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$ |
997,500 |
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|
0.35 |
% |
|
$ |
1,001,250 |
|
|
0.12 |
% |
Agency RMBS |
|
11,671,026 |
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|
0.52 |
% |
|
4,804,533 |
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|
0.50 |
% |
Non-Agency RMBS |
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1,111,954 |
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|
2.56 |
% |
|
731,014 |
|
|
2.61 |
% |
Agency derivatives |
|
241,035 |
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1.16 |
% |
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118,032 |
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0.97 |
% |
Mortgage loans held-for-sale |
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12,812 |
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2.46 |
% |
|
5,319 |
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|
3.20 |
% |
Total |
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$ |
14,034,327 |
|
|
0.68 |
% |
|
$ |
6,660,148 |
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|
0.68 |
% |
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| Schedule of Repurchase Agreements by Maturity [Table Text Block] |
At September 30, 2012 and December 31, 2011, the repurchase agreements had the following remaining maturities:
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(in thousands) |
September 30,
2012 |
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December 31,
2011 |
Within 30 days |
$ |
1,986,019 |
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|
$ |
1,967,009 |
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30 to 59 days |
3,189,709 |
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|
1,263,060 |
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60 to 89 days |
70,259 |
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|
1,096,410 |
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90 to 119 days |
1,868,315 |
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|
359,171 |
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120 to 364 days (1) (2)
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5,642,525 |
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|
923,248 |
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Open maturity (3)
|
997,500 |
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|
1,001,250 |
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One year and over (4)
|
280,000 |
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|
50,000 |
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Total |
$ |
14,034,327 |
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|
$ |
6,660,148 |
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____________________
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(1) |
120 to 364 days includes the amounts outstanding under the Wells Fargo 364-day borrowing facility. |
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(2) |
120 to 364 days includes the amounts outstanding under the Barclays 364-day borrowing facility. |
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(3) |
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. |
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(4) |
One year and over includes repurchase agreements with maturity dates ranging from December 23, 2013 to July 27, 2016. |
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| 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 value that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:
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(in thousands) |
September 30,
2012 |
|
December 31,
2011 |
Available-for-sale securities, at fair value |
$ |
14,453,848 |
|
|
$ |
6,160,229 |
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Trading securities, at fair value |
1,002,461 |
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|
1,003,301 |
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Mortgage loans held-for-sale |
14,553 |
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|
5,782 |
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Cash and cash equivalents |
10,000 |
|
|
15,000 |
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Restricted cash |
14,018 |
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|
94,803 |
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Due from counterparties |
28,965 |
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|
32,201 |
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Derivative assets, at fair value |
318,575 |
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|
145,779 |
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Total |
$ |
15,842,420 |
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|
$ |
7,457,095 |
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| 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, 2012 and December 31, 2011:
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September 30, 2012 |
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December 31, 2011 |
(dollars in thousands) |
Amount Outstanding |
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Net Counterparty Exposure (1)
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Percent of Equity |
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Weighted Average Days to Maturity |
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Amount Outstanding |
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Net Counterparty Exposure (1)
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|
Percent of Equity |
|
Weighted Average Days to Maturity |
JP Morgan Chase (2)
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$ |
1,834,277 |
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$ |
321,627 |
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|
9 |
% |
|
145.5 |
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$ |
1,250,629 |
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$ |
184,046 |
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|
14 |
% |
|
70.0 |
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All other counterparties (3)
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11,202,550 |
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|
1,470,542 |
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|
43 |
% |
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119.5 |
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4,408,269 |
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|
613,446 |
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|
48 |
% |
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73.8 |
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Total |
$ |
13,036,827 |
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$ |
1,792,169 |
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$ |
5,658,898 |
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$ |
797,492 |
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____________________
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(1) |
Represents the net carrying value of the securities 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 September 30, 2012 and December 31, 2011, the Company had $15.7 million and $45.6 million, respectively, in payables due to broker counterparties for unsettled securities purchases. The payables are not included in the amounts presented above.
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(2) |
Excludes repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity. |
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(3) |
Represents amounts outstanding to 21 and 17 counterparties at September 30, 2012 and December 31, 2011, respectively.
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