Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements (Notes)

v2.4.0.8
Repurchase Agreements (Notes)
6 Months Ended
Jun. 30, 2013
Repurchase Agreements [Abstract]  
Repurchase Agreements
Repurchase Agreements
The Company had outstanding $14.9 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 0.72% and weighted average remaining maturities of 86 days as of June 30, 2013. The Company had outstanding $12.6 billion of repurchase agreements with a weighted average borrowing rate of 0.76%, 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 85 days as of December 31, 2012. As of June 30, 2013 and December 31, 2012, the debt associated with the Company's U.S. Treasuries had a weighted average borrowing rate of 0.08% and 0.30%, respectively.
At June 30, 2013 and December 31, 2012, the repurchase agreement balances were as follows:
(in thousands)
June 30,
2013
 
December 31,
2012
Short-term
$
14,703,155

 
$
12,424,510

Long-term
200,000

 
200,000

Total
$
14,903,155

 
$
12,624,510



At June 30, 2013 and December 31, 2012, the repurchase agreements had the following characteristics:
(dollars in thousands)
 
June 30, 2013
 
December 31, 2012
Collateral Type
 
Amount Outstanding
 
Weighted Average Borrowing Rate
 
Amount Outstanding
 
Weighted Average Borrowing Rate
U.S. Treasuries
 
$
1,000,000

 
0.08
%
 
$
997,500

 
0.30
%
Agency RMBS AFS
 
11,828,514

 
0.46
%
 
10,171,385

 
0.54
%
Non-Agency RMBS
 
1,421,285

 
2.23
%
 
1,177,675

 
2.50
%
Agency derivatives
 
219,235

 
1.07
%
 
228,241

 
1.16
%
Mortgage loans held-for-sale
 
434,121

 
2.69
%
 
49,709

 
2.46
%
Total
 
$
14,903,155

 
0.67
%
 
$
12,624,510

 
0.72
%


At June 30, 2013 and December 31, 2012, the repurchase agreements had the following remaining maturities:
(in thousands)
June 30,
2013
 
December 31,
2012
Within 30 days
$
4,751,482

 
$
3,038,229

30 to 59 days
2,937,677

 
3,528,393

60 to 89 days
889,141

 
1,731,595

90 to 119 days
1,553,211

 
849,621

120 to 364 days
3,571,644

 
2,279,172

Open maturity (1)
1,000,000

 
997,500

One year and over (2)
200,000

 
200,000

Total
$
14,903,155

 
$
12,624,510

____________________
(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)
June 30,
2013
 
December 31,
2012
Available-for-sale securities, at fair value
$
14,153,148

 
$
12,810,355

Trading securities, at fair value
1,001,172

 
1,002,062

Mortgage loans held-for-sale
475,028

 
52,529

Cash and cash equivalents
15,000

 
10,000

Restricted cash
596,479

 
84,307

Due from counterparties
15,373

 
36,917

Derivative assets, at fair value
239,293

 
291,054

Total
$
16,495,493

 
$
14,287,224



Although the transactions under repurchase agreements represent 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 June 30, 2013 and December 31, 2012:
 
June 30, 2013
 
December 31, 2012
(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
Barclays Capital Inc.
$
1,408,599

 
$
240,632

 
6
%
 
64.6

 
$
1,127,888

 
$
257,858

 
7
%
 
90.3

All other counterparties (2) (3)
12,494,556

 
1,345,743

 
35
%
 
88.6

 
10,499,122

 
1,403,268

 
41
%
 
84.0

Total
$
13,903,155

 
$
1,586,375

 
 
 
 
 
$
11,627,010

 
$
1,661,126

 
 
 
 
____________________
(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 June 30, 2013 and December 31, 2012, the Company had $62.8 million and $291.7 million, respectively, in payables due to broker counterparties for unsettled securities purchases. The payables are not included in the amounts presented above.
(2)
Excludes $1.0 billion of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity.
(3)
Represents amounts outstanding to 19 and 21 counterparties at June 30, 2013 and December 31, 2012, respectively.

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