Repurchase Agreements

12 Months Ended

Dec. 31, 2015

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

As of December 31, 2015, the Company had outstanding repurchase agreement obligations of approximately $77.2 million with a net weighted average borrowing rate of 0.61%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $81.5 million. As of December 31, 2014, the Company had outstanding repurchase agreement obligations of approximately $110.0 million with a net weighted average borrowing rate of 0.36%. These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $116.4 million, and cash pledged to counterparty of approximately $0.3 million.

As of December 31, 2015 and December 31, 2014, the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)
		OVERNIGHT		BETWEEN 2		BETWEEN 31			GREATER
		(1 DAY OR		AND		AND			THAN
		LESS)		30 DAYS		90 DAYS			90 DAYS		TOTAL
December 31, 2015
Fair value of securities pledged, including accrued
	interest receivable	$	-	$	81,464	$	-	$	-	$	81,464
Repurchase agreement liabilities associated with
	these securities	$	-	$	77,234	$	-	$	-	$	77,234
Net weighted average borrowing rate			-		0.61%		-		-		0.61%
December 31, 2014
Fair value of securities pledged, including accrued
	interest receivable	$	-	$	114,433	$	1,998	$	-	$	116,431
Repurchase agreement liabilities associated with
	these securities	$	-	$	108,074	$	1,890	$	-	$	109,964
Net weighted average borrowing rate			-		0.36%		0.33%		-		0.36%

If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable, and cash posted by the Company as collateral, if any. At December 31, 2015 and December 31, 2014, the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable, and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $3.5 million and $6.7 million, respectively. The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at December 31, 2015. Summary information regarding amounts at risk with individual counterparties greater than 10% of equity at December 31, 2014 is as follows:

($ in thousands)
			% of	Weighted
			Stockholders'	Average
		Amount	Equity	Maturity
Repurchase Agreement Counterparties		at Risk	at Risk	(in Days)
December 31, 2014
JVB Financial Group, LLC	$	1,807	19.6%	8
ED&F Man Capital Markets Inc.		1,490	16.2%	22