Repurchase Agreements

12 Months Ended

Dec. 31, 2012

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

NOTE 3. REPURCHASE AGREEMENTS

As of December 31, 2012, the Company had outstanding repurchase obligations of approximately $103.9 million with a net weighted average borrowing rate of 0.49%.These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $109.9 million, and cash pledged to counterparties of approximately $0.4 million. As of December 31, 2011, the Company had outstanding repurchase obligations of approximately $44.3million with a net weighted average borrowing rate of 0.44%.These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $46.8 million, and cash pledged to the counterparty of approximately $0.1 million.

As of December 31, 2012and 2011, 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, 2012
Fair market value of securities pledged, including
	accrued interest receivable	$	-	$	109,863	$	-	$	-	$	109,863
Repurchase agreement liabilities associated with
	these securities	$	-	$	103,941	$	-	$	-	$	103,941
Net weighted average borrowing rate			-		0.49%		-		-		0.49%
December 31, 2011
Fair market value of securities pledged, including
	accrued interest receivable	$	-	$	46,788	$	-	$	-	$	46,788
Repurchase agreement liabilities associated with
	these securities	$	-	$	44,325	$	-	$	-	$	44,325
Net weighted average borrowing rate			-		0.44%		-		-		0.44%

Summary information regarding the Company's amounts at risk with individual counterparties greater than 10% of the Company's equity at December 31, 2012 and 2011 is as follows:

(in thousands)
			Amount	Weighted Average Maturity of Repurchase
Repurchase Agreement Counterparties			at Risk(1)	Agreements in Days
December 31, 2012
	Citigroup Global Markets, Inc.	$	3,714	18
	South Street Securities, LLC		1,802	7
December 31, 2011
	Nomura Securities International, Inc.	$	2,100	30

(1)       Equal to the fair value of securities sold, cash posted as collateral, plus accrued interest receivable, minus the sum of repurchase agreement liabilities and accrued interest payable.