6. Repurchase Agreements

The Company’s repurchase agreements are collateralized by the Company’s MBS and U.S. Treasury securities (obtained as part of a reverse repurchase agreement) and cash and bear interest that is generally LIBOR-based. (See Note 7) At March 31, 2013, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 32 days and an effective repricing period of five months, including the impact of related Swaps. At December 31, 2012, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 28 days and an effective repricing period of five months, including the impact of related Swaps.

The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at March 31, 2013 and December 31, 2012:

(Dollars in Thousands)	March 31, 2013			December 31, 2012
Repurchase agreement borrowings secured by Agency MBS	$	6,338,378		$	6,353,489
Fair Value of Agency MBS pledged as collateral under repurchase agreements	$	6,682,380		$	6,678,384
Weighted average haircut on Agency MBS (1)	4.76		%	4.80		%
Repurchase agreement borrowings secured by Non-Agency MBS (2)	$	2,155,812		$	1,988,172
Fair Value of Non-Agency MBS pledged as collateral under repurchase agreements (2) (3)	$	3,817,527		$	3,463,128
Weighted average haircut on Non-Agency MBS (1)	30.16		%	30.49		%
Repurchase agreements secured by U.S. Treasuries	$	408,637		$	410,811
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements	$	408,118		$	408,833
Weighted average haircut on U.S. Treasuries (1)	0.89		%	1.74		%

(1) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount on the Company’s repurchase agreements borrowings.

(2) Does not reflect Non-Agency MBS and repurchase agreement borrowings that are components of Linked Transactions.

(3) Includes $1.966 billion and $1.860 billion of Non-Agency MBS acquired from consolidated VIEs at March 31, 2013, and December 31, 2012, respectively, that are eliminated from the Company’s consolidated balance sheet.

The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at March 31, 2013 and December 31, 2012:

	March 31, 2013				December 31, 2012
			Weighted				Weighted
Time Until Interest Rate Reset	Balance (1)		Average Interest Rate		Balance (1)		Average Interest Rate
(Dollars in Thousands)
Within 30 days	$	6,776,242	0.77	%	$	6,293,802	0.71	%
Over 30 days to 3 months	2,000,536		0.82		2,458,670		1.21
Over 6 months to 12 months	126,049		2.14		—		—
Total	$	8,902,827	0.80	%	$	8,752,472	0.85	%

(1) At March 31, 2013 and December 31, 2012, the Company had repurchase agreements of $34.1 million and $35.3 million, respectively, that were linked to Non-Agency MBS purchases and accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 5)

The following table at March 31, 2013 presents contractual maturity information about the Company’s borrowings under repurchase agreements and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

	March 31, 2013
			Weighted
			Average
Contractual Maturity	Balance (1)		Interest Rate
(Dollars in Thousands)
Overnight	$	—	—	%
Within 30 days	6,357,923		0.65
Over 30 days to 90 days	1,952,583		0.78
Over 90 days to 12 months	216,049		2.25
Over 12 months	376,272		2.62
Total	$	8,902,827	0.80	%

(1) At March 31, 2013, the Company had repurchase agreements of $34.1 million that were linked to Non-Agency MBS purchases and were accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. (See Note 5)

The Company had repurchase agreements with 26 counterparties at March 31, 2013 and 26 counterparties at December 31, 2012. The following table presents information with respect to any counterparty for repurchase agreements and/or Linked Transactions for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2013:

March 31, 2013

	Counterparty	Amount at		Weighted Average Months to Maturity for Repurchase	Percent of Stockholders’
Counterparty	Rating (1)	Risk (2)		Agreements	Equity
(Dollars in Thousands)
Credit Suisse	A/Aa2/A	$	723,319	1	22.1	%
Wells Fargo (3)	AA-/Aa3/AA-	375,693		10	11.5
UBS (4) (5)	A/A2/A	271,219		27	8.3
Deutsche Bank	A+/A2/A+	242,065		2	7.4

(1) As rated at March 31, 2013 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities.

(2) The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements and repurchase agreements underlying Linked Transactions, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral and MBS underlying Linked Transaction, including accrued interest receivable on such securities.

(3) Includes $256.1 million with Wells Fargo Bank, NA and $119.6 million at risk with Wells Fargo Securities LLC.

(4) Includes $261.7 million at risk with UBS AG and $9.5 million at risk with UBS Securities LLC.

(5) Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.