Repurchase Agreements And Other Debt

12 Months Ended

Dec. 31, 2012

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements And Other Debt

Repurchase Agreements and Other Debt

We pledge certain of our agency securities as collateral under repurchase arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Interest rates on these borrowings are generally based on LIBOR plus or minus a margin and amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of pledged securities, lenders may require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of December 31, 2012 and 2011, we have met all margin call requirements.

The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by original maturities as of December 31, 2012 and 2011 (dollars in millions):

	December 31, 2012					December 31, 2011
Original Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity	Repurchase Agreements		Weighted Average Interest Rate		Weighted Average Days to Maturity
Agency MBS:
≤ 1 month	$	4,011	0.48	%	13	$	2,558	0.43	%	10
> 1 to ≤ 3 months	28,307		0.49	%	37	24,518		0.39	%	32
> 3 to ≤ 6 months	24,303		0.49	%	63	16,475		0.37	%	53
> 6 to ≤ 9 months	5,222		0.54	%	79	2,423		0.45	%	141
> 9 to ≤ 12 months	7,813		0.58	%	222	1,006		0.53	%	244
> 12 to ≤ 24 months	1,917		0.65	%	564	600		0.51	%	268
> 24 to ≤ 36 months	2,803		0.69	%	963	—		—		—
> 36 months	102		0.73	%	1,751	—		—		—
Total agency MBS	74,478		0.51	%	118	47,580		0.40	%	51
U.S. Treasury securities:
1 day	—		—		—	101		0.40	%	1
Total / Weighted Average	$	74,478	0.51	%	118	$	47,681	0.40	%	51

As of December 31, 2012 and 2011, we did not have an amount at risk with any repurchase agreement counterparty greater than 4% of our stockholders’ equity.

As of December 31, 2012 and 2011, debt of consolidated VIEs, at fair value ("other debt") was $937 million and $54 million, respectively. As of December 31, 2012 and 2011, our other debt had a weighted average interest rate of LIBOR plus 43 and 25 basis points and a principal balance of $908 million and $54 million, respectively. The actual maturities of our other debt are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing our other debt and periodic principal prepayments of such underlying securities. The estimated weighted average life of our other debt as of December 31, 2012 was 5.2 years.

As of December 31, 2012, we also had forward purchase commitments, including TBA dollar roll transactions, outstanding of $12.9 billion, at fair value (see Notes 2 and 5). Forward purchase commitments and TBA dollar roll transactions represent a form of off-balance sheet financing. Pursuant to ASC 815, we typically account for such transactions as one or more series of derivative transactions and, consequently, they are not reflected in our on-balance debt and leverage ratios.