Repurchase Agreements

3 Months Ended

Mar. 31, 2013

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

NOTE 3. REPURCHASE AGREEMENTS

As of March 31, 2013, the Company had outstanding repurchase obligations of approximately $316.4 million with a net weighted average borrowing rate of 0.42%.These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $334.2 million. As of December 31, 2012, the Company had outstanding repurchase obligations of approximately $103.9million 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 the counterparty of approximately $0.4 million.

As of March 31, 2013and December 31, 2012, 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
March 31, 2013
Fair market value of securities pledged, including
	accrued interest receivable	$	66,571	$	250,670	$	16,975	$	-	$	334,216
Repurchase agreement liabilities associated with
	these securities	$	63,381	$	236,743	$	16,322	$	-	$	316,446
Net weighted average borrowing rate			0.40%		0.42%		0.42%		-		0.42%
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%

Summary information regarding the Company's amounts at risk with individual counterparties greater than 10% of the Company's equity at March 31, 2013 and December 31, 2012 is as follows:

(in thousands)
			Weighted
			Average
		Amount	Maturity
Counterparties		at Risk(1)	(in Days)
March 31, 2013
Citigroup Global Markets, Inc.	$	6,075	18
December 31, 2012
Citigroup Global Markets, Inc.	$	3,714	18
South Street Securities, LLC		1,802	7

(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.