Repurchase Agreements

3 Months Ended

Mar. 31, 2014

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

NOTE 3. REPURCHASE AGREEMENTS

As of March 31, 2014, the Company had outstanding repurchase obligations of approximately $651.2 million with a net weighted average borrowing rate of 0.35%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $691.7 million,and cash pledged to the counterparties of approximately $0.6 million. As of December 31, 2013, the Company had outstanding repurchase obligations of approximately $318.6 million with a net weighted average borrowing rate of 0.39%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $337.0 million.

As of March 31, 2014 and December 31, 2013, 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, 2014
Fair market value of securities pledged, including
	accrued interest receivable	$	-	$	523,455	$	146,233	$	21,978	$	691,666
Repurchase agreement liabilities associated with
	these securities	$	-	$	493,131	$	137,677	$	20,438	$	651,246
Net weighted average borrowing rate			-		0.35%		0.35%		0.36%		0.35%
December 31, 2013
Fair market value of securities pledged, including
	accrued interest receivable	$	-	$	326,348	$	10,650	$	-	$	336,998
Repurchase agreement liabilities associated with
	these securities	$	-	$	308,402	$	10,155	$	-	$	318,557
Net weighted average borrowing rate			-		0.39%		0.37%		-		0.39%

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. At March 31, 2014, 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 and cash pledged, including accrued interest on such securities) of approximately $40.9 million. At March 31, 2014, the Company did not have an amount at risk with any repurchase agreement counterparty greater than 10% of the Company’s equity. Summary information regarding the Company’s amounts at risk with individual counterparties greater than 10% of the Company’s equity at December 31, 2013 is as follows:

(in thousands)
			% of	Weighted
			Stockholders'	Average
		Amount	Equity	Maturity
Repurchase Agreement Counterparties		at Risk	at Risk	(in Days)
Citigroup Global Markets, Inc.	$	5,487	12.3%	11