Repurchase Agreements

6 Months Ended

Jun. 30, 2015

Disclosure of Repurchase Agreements [Abstract]

Repurchase Agreements

NOTE 3. REPURCHASE AGREEMENTS

As of June 30, 2015, the Company had outstanding repurchase obligations of approximately $2,014.1 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 $2,123.6 million and cash pledged to counterparties of approximately $14.4 million. As of December 31, 2014, the Company had outstanding repurchase obligations of approximately $1,436.7 million with a net weighted average borrowing rate of 0.36%. These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $1,522.9 million and cash pledged to counterparties of approximately $2.6 million.

As of June 30, 2015 and December 31, 2014, 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, 2015
Fair market value of securities pledged, including
	accrued interest receivable	$	82,736	$	1,799,521	$	241,364	$	-	$	2,123,621
Repurchase agreement liabilities associated with
	these securities	$	80,108	$	1,709,480	$	224,483	$	-	$	2,014,071
Net weighted average borrowing rate			0.36%		0.39%		0.41%		-		0.39%
December 31, 2014
Fair market value of securities pledged, including
	accrued interest receivable	$	-	$	984,823	$	534,238	$	3,844	$	1,522,905
Repurchase agreement liabilities associated with
	these securities	$	-	$	929,831	$	502,947	$	3,873	$	1,436,651
Net weighted average borrowing rate			-		0.36%		0.37%		0.38%		0.36%

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 June 30, 2015, the Company had an aggregate 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) with all counterparties of approximately $122.9 million. The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at June 30, 2015 and December 31, 2014