SECURITIES PURCHASED UNDER RESALE AGREEMENTS AND SOLD UNDER REPURCHASE AGREEMENTS

12 Months Ended

Dec. 31, 2015

RESALE AND REPURCHASE AGREEMENTS

SECURITIES PURCHASED UNDER RESALE AGREEMENTS AND SOLD UNDER REPURCHASE AGREEMENTS

NOTE 5 — SECURITIES PURCHASED UNDER RESALE AGREEMENTS AND SOLD UNDER REPURCHASE AGREEMENTS

Resale Agreements

Resale agreements are recorded at the balances at which the securities were acquired. The market values of the underlying securities collateralizing the related receivable of the resale agreements, including accrued interest, are monitored. Additional collateral may be requested by the Company from the counterparty when deemed appropriate. Gross resale agreements were $2.05 billion and $1.43 billion as of December 31, 2015 and 2014, respectively. The weighted average interest rates were 1.61% and 1.55% as of December 31, 2015 and 2014, respectively. As of December 31, 2015, total gross resale agreements that are maturing in the next five years are as follows: 2016 — $950.0 million; 2017 and 2018 — $50.0 million each; 2019 — $0.0 million; 2020 — $100.0 million and thereafter — $900.0 million.

Repurchase Agreements

Long-term repurchase agreements are accounted for as collateralized financing transactions and recorded at the balances at which the securities were sold. The collateral for these agreements are primarily comprised of U.S. government agency and U.S. government sponsored enterprise debt and mortgage-backed securities. The Company may have to provide additional collateral for the repurchase agreements, as necessary. Gross repurchase agreements were $450.0 million and $995.0 million as of December 31, 2015 and 2014, respectively. The weighted average interest rates were 2.60% and 3.70% as of December 31, 2015 and 2014, respectively. The Company recorded $21.8 million of charges related to the extinguishment of $545.0 million of repurchase agreements for the year ended December 31,2015. In comparison, there was no extinguishment charge recorded for the years ended December 31, 2014 and 2013. As of December 31, 2015, total gross repurchase agreements that are maturing in the next five years are as follows: 2016 through 2020 — $0.0 million and thereafter — $450.0 million.

Balance Sheet Offsetting

The Company’s resale and repurchase agreements are transacted under legally enforceable master repurchase agreements that provide the Company, in the event of default by the counterparty, the right to liquidate securities held and to offset receivables and payables with the same counterparty. The Company nets resale and repurchase transactions with the same counterparty on the Consolidated Balance Sheets when it has a legally enforceable master netting agreement and the transactions are eligible for netting under ASC 210-20-45. Collateral accepted includes securities that are not recognized on the Consolidated Balance Sheets. Collateral pledged consists of securities that are not netted on the Consolidated Balance Sheets against the related collateralized liability. Collateral accepted or pledged in resale and repurchase agreements with other financial institutions may also be sold or re-pledged by the secured party, but is usually delivered to and held by the third party trustees. The collateral amounts received/posted are limited for presentation purposes to the related recognized asset/liability balance for each counterparty, and accordingly, do not include excess collateral received/pledged. The following tables present resale and repurchase agreements included on the Consolidated Balance Sheets as of December 31, 2015 and 2014:

($ in thousands)	As of December 31, 2015
	Gross Amounts of Recognized Assets		Gross Amounts Offset on the Consolidated Balance Sheets			Net Amounts of Assets Presented on the Consolidated Balance Sheets		Gross Amounts Not Offset on the Consolidated Balance Sheets
Assets								Financial Instruments		Collateral Received				Net Amount
Resale agreements	$	2,050,000	$	(450,000	)	$	1,600,000	$	—	$	(1,593,503	)	(1)	$	6,497
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset on the Consolidated Balance Sheets			Net Amounts of Liabilities Presented on the Consolidated Balance Sheets		Gross Amounts Not Offset on the Consolidated Balance Sheets
Liabilities								Financial Instruments		Collateral  Posted				Net Amount
Repurchase agreements	$	450,000	$	(450,000	)	$	—	$	—	$	—		(2)	$	—

($ In thousands)	As of December 31, 2014
	Gross Amounts of Recognized Assets		Gross Amounts Offset on the Consolidated Balance Sheets			Net Amounts of Assets Presented on the Consolidated Balance Sheets		Gross Amounts Not Offset on the Consolidated Balance Sheets
Assets								Financial Instruments				Collateral Received				Net Amount
Resale agreements	$	1,425,000	$	(200,000	)	$	1,225,000	$	(425,000	)	(3)	$	(797,172	)	(1)	$	2,828
	Gross Amounts of Recognized Liabilities		Gross Amounts Offset on the Consolidated Balance Sheets			Net Amounts of Liabilities Presented on the Consolidated Balance Sheets		Gross Amounts Not Offset on the Consolidated Balance Sheets
Liabilities								Financial Instruments				Collateral  Posted				Net Amount
Repurchase agreements	$	995,000	$	(200,000	)	$	795,000	$	(425,000	)	(3)	$	(370,000	)	(2)	$	—

(1) Represents the fair value of securities the Company has received under resale agreements, limited for table presentation purposes to the amount of the recognized asset due from each counterparty.

(2) Represents the fair value of securities the Company has pledged under repurchase agreements, limited for table presentation purposes to the amount of the recognized liability owed to each counterparty.

(3) Includes financial instruments subject to enforceable master netting arrangements that are not permitted to be offset under ASC 210-20-45 but would be eligible for offsetting to the extent an event of default has occurred.

In addition to the amounts included in the table above, the Company also has balance sheet netting related to derivatives, refer to Note 7—Derivatives to the Consolidated Financial Statements for additional information.