Repurchase Agreements

6 Months Ended

Jun. 30, 2013

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

NOTE 3. REPURCHASE AGREEMENTS

As of June 30, 2013, the Company had outstanding repurchase obligations of approximately $308.7 million with a net weighted average borrowing rate of 0.38%.These agreements were collateralized by MBS with a fair value, including accrued interest, of approximately $318.2 million, and cash pledged to counterparties of approximately $6.4 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 acounterparty of approximately $0.4 million.

As of June 30, 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
June 30, 2013
Fair market value of securities pledged, including
	accrued interest receivable	$	5,172	$	255,371	$	57,661	$	-	$	318,204
Repurchase agreement liabilities associated with
	these securities	$	4,966	$	247,056	$	56,713	$	-	$	308,735
Net weighted average borrowing rate			0.38%		0.38%		0.39%		-		0.38%
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%

If, during the term of a repurchase agreement, a lender should file 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. At June 30, 2013, the Company had a maximum amount at risk (the difference between the amount loaned to the Company, including interest payable, and the fair value of securities pledged, including accrued interest on such securities and cash posted by the Company as collateral) of approximately $15.8 million.Summary information regarding the Company's amounts at risk with individual counterparties greater than 10% of the Company's equity at June 30, 2013 and December 31, 2012 is as follows:

(in thousands)
			Weighted
			Average
		Amount	Maturity
Counterparties		at Risk(1)	(in Days)
June 30, 2013
Citigroup Global Markets, Inc.	$	6,259	28
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.