Annual report pursuant to Section 13 and 15(d)

Repurchase Agreements (Notes)

v2.4.0.6
Repurchase Agreements (Notes)
12 Months Ended
Dec. 31, 2012
Repurchase Agreements [Abstract]  
Repurchase Agreements
Repurchase Agreements
The Company had outstanding $12.6 billion of repurchase agreements, including repurchase agreements funding the Company's U.S. Treasuries of $1.0 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 0.76% and weighted average remaining maturities of 85 days as of December 31, 2012. The Company had outstanding $6.7 billion of repurchase agreements with a weighted average borrowing rate of 0.78%, excluding the debt associated with the Company's U.S. Treasuries and the effect of the Company's interest rate swaps, and weighted average remaining maturities of 73 days as of December 31, 2011. As of December 31, 2012 and December 31, 2011, the debt associated with the Company's U.S. Treasuries had a weighted average borrowing rate of 0.30% and 0.12%, respectively.
At December 31, 2012 and December 31, 2011, the repurchase agreement balances were as follows:
(in thousands)
December 31,
2012
 
December 31,
2011
Short-term
$
12,424,510

 
$
6,610,148

Long-term
200,000

 
50,000

Total
$
12,624,510

 
$
6,660,148



At December 31, 2012 and December 31, 2011, the repurchase agreements had the following characteristics:
(dollars in thousands)
 
December 31, 2012
 
December 31, 2011
Collateral Type
 
Amount Outstanding
 
Weighted Average Borrowing Rate
 
Amount Outstanding
 
Weighted Average Borrowing Rate
U.S. Treasuries
 
$
997,500

 
0.30
%
 
$
1,001,250

 
0.12
%
Agency RMBS AFS
 
10,171,385

 
0.54
%
 
4,804,533

 
0.50
%
Non-Agency RMBS
 
1,177,675

 
2.50
%
 
731,014

 
2.61
%
Agency derivatives
 
228,241

 
1.16
%
 
118,032

 
0.97
%
Mortgage loans held-for-sale
 
49,709

 
2.46
%
 
5,319

 
3.20
%
Total
 
$
12,624,510

 
0.72
%
 
$
6,660,148

 
0.68
%


At December 31, 2012 and December 31, 2011, the repurchase agreements had the following remaining maturities:
(in thousands)
December 31,
2012
 
December 31,
2011
Within 30 days
$
3,038,229

 
$
1,967,009

30 to 59 days
3,528,393

 
1,263,060

60 to 89 days
1,731,595

 
1,096,410

90 to 119 days
849,621

 
359,171

120 to 364 days
2,279,172

 
923,248

Open maturity (1)
997,500

 
1,001,250

One year and over (2)
200,000

 
50,000

Total
$
12,624,510

 
$
6,660,148

____________________
(1)
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.
(2)
One year and over includes repurchase agreements with maturity dates ranging from June 26, 2015 to July 27, 2016.

The following table summarizes assets at carrying value that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:
(in thousands)
December 31,
2012
 
December 31,
2011
Available-for-sale securities, at fair value
$
12,810,355

 
$
6,160,229

Trading securities, at fair value
1,002,062

 
1,003,301

Mortgage loans held-for-sale
52,529

 
5,782

Cash and cash equivalents
10,000

 
15,000

Restricted cash
84,307

 
94,803

Due from counterparties
36,917

 
32,201

Derivative assets, at fair value
291,054

 
145,779

Total
$
14,287,224

 
$
7,457,095



Although the repurchase agreements are 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 December 31, 2012 and December 31, 2011:
 
December 31, 2012
 
December 31, 2011
(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
JP Morgan Chase (2)
$
1,382,348

 
$
281,717

 
8
%
 
70.8

 
$
1,250,629

 
$
184,046

 
14
%
 
70.0

All other counterparties (3)
10,244,662

 
1,379,409

 
40
%
 
86.4

 
4,408,269

 
613,446

 
48
%
 
73.8

Total
$
11,627,010

 
$
1,661,126

 
 
 
 
 
$
5,658,898

 
$
797,492

 
 
 
 
____________________
(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 December 31, 2012 and December 31, 2011, the Company had $291.7 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.
(2)
Excludes repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity.
(3)
Represents amounts outstanding to 21 and 17 counterparties at December 31, 2012 and December 31, 2011, respectively.

The Company does not anticipate any defaults by its repurchase agreement counterparties.