Note 6 - Financing Arrangements, Portfolio Investments

3 Months Ended

Jun. 30, 2011

Repurchase Agreements, Resale Agreements, Securities Borrowed, and Securities Loaned Disclosure [Text Block]

6.  Financing Arrangements, Portfolio Investments

The Company has entered into repurchase agreements with third party financial institutions to finance its investment portfolio.  The repurchase agreements are short-term borrowings that bear interest rates typically based on a spread to LIBOR, and are secured by the securities which they finance.  At June 30, 2011, the Company had repurchase agreements with an outstanding balance of $96.4 million and a weighted average interest rate of 0.63%. As of December 31, 2010, the Company had repurchase agreements with an outstanding balance of $35.6 million and a weighted average interest rate of 0.39%.  At June 30, 2011 and December 31, 2010, securities pledged by the Company as collateral for repurchase agreements had estimated fair values of $115.6 million and $38.5 million, respectively.  All outstanding borrowings under our repurchase agreements mature within 30 days.  As of June 30, 2011, the average days to maturity for all repurchase agreements are 18 days.

The following table summarizes outstanding repurchase agreement borrowings secured by portfolio investments, which are included in financing arrangements, portfolio investments on the condensed consolidated balance sheets, as of June 30, 2011 and December 31, 2010, respectively (dollar amount in thousands):

Repurchase Agreements by Counterparty
	June 30, 2011		December 31, 2010
Counterparty Name
Cantor Fitzgerald	$	11,925	$	4,990
Credit Suisse First Boston LLC		11,675		12,080
Jefferies & Company, Inc.		8,405		9,476
JPMorgan Chase & Co.		44,995		—
South Street Securities LLC		19,370		9,086
Total Financing Arrangements, Portfolio Investments	$	96,370	$	35,632

As of June 30, 2011, the outstanding balance under our repurchase agreements was funded at an advance rate of 83% that implies an average haircut of 17%. The weighted average “haircut” related to our repurchase agreement financing for our Agency IOs, CLOs and other Agency RMBS was approximately 25%, 35% and 6%, respectively, for a total weighted average “haircut” of 17%. The amount at risk for Credit Suisse First Boston, LLC, South Street Securities, LLC, Jefferies & Company, Inc., Cantor Fitzgerald and JPMorgan Chase & Co. are $0.8 million, $0.9 million, $0.5 million, $4.3 million and $12.7 million, respectively. As of June 30, 2011, the Company had $6.9 million in cash and $33.6 million in unencumbered investment securities to meet additional haircut or market valuation requirements, including $18.8 million of RMBS, of which $13.0 million are Agency RMBS. The $6.9 million of cash and the $18.8 million in RMBS (which, collectively, represents 27.0% of our financing arrangements, portfolio investments) are liquid and could be monetized to pay down or collateralize the liability immediately.