Repurchase Agreements

9 Months Ended

Sep. 30, 2014

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

NOTE 3. REPURCHASE AGREEMENTS

As of September 30, 2014, the Company had outstanding repurchase obligations of approximately $1,256.0 million with a net weighted average borrowing rate of 0.34%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $1,325.7 million, (including unsettled securities sold with a fair value of approximately $246.9 million), and cash pledged to counterparties of approximately $4.8 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 September 30, 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
September 30, 2014
Fair market value of securities pledged, including
	accrued interest receivable	$	48,439	$	695,152	$	462,617	$	119,449	$	1,325,657
Repurchase agreement liabilities associated with
	these securities	$	47,080	$	660,293	$	436,110	$	112,495	$	1,255,978
Net weighted average borrowing rate			0.32%		0.34%		0.34%		0.38%		0.34%
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 September 30, 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 (if any), including accrued interest on such securities) of approximately $74.1 million. Summary information regarding the Company’s amounts at risk with individual counterparties greater than 10% of the Company’s equity at September 30, 2014 and December 31, 2013 is as follows:

($ in thousands)
			% of	Weighted
			Stockholders'	Average
		Amount	Equity	Maturity
Repurchase Agreement Counterparties		at Risk	at Risk	(in Days)
September 30, 2014
Citigroup Global Markets, Inc.	$	19,074	11.0%	20
December 31, 2013
Citigroup Global Markets, Inc.	$	5,487	12.3%	11