Repurchase Agreements

6 Months Ended

Jun. 30, 2011

REPURCHASE AGREEMENTS [Abstract]

Repurchase Agreements

REPURCHASE AGREEMENTS

The Company uses repurchase agreements, which are recourse to the Company, to finance certain of its investments.  The following tables present the components of the Company’s repurchase agreements as of June 30, 2011 and December 31, 2010 by the type of securities collateralizing the repurchase agreement:

	June 30, 2011
Collateral Type	Balance		Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	1,728,495	0.23	%	$	1,799,991
Agency CMBS	192,652		0.34	%	219,778
Non-Agency RMBS	7,693		1.24	%	8,720
Non-Agency CMBS	153,304		1.09	%	177,592
Securitization financing bonds (see Note 9)	51,105		1.11	%	60,251
	$	2,133,249	0.33	%	$	2,266,332

	December 31, 2010
Collateral Type	Balance		Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	869,537	0.33	%	$	908,375
Agency CMBS	150,178		0.31	%	161,143
Non-Agency RMBS	12,126		1.29	%	13,628
Non-Agency CMBS	135,143		1.31	%	164,871
Securitization financing bonds (see Note 9)	67,199		1.36	%	79,080
	$	1,234,183	0.50	%	$	1,327,097

The combined weighted average term to original maturity for the Company’s repurchase agreements was 50 days as of both June 30, 2011 and December 31, 2010.  The following table provides a summary of the original maturity as of June 30, 2011 and December 31, 2010:

Original Maturity	June 30, 2011		December 31, 2010
30 days or less	$	682,112	$	478,848
31 to 60 days	772,995		372,702
61 to 90 days	265,951		202,569
Greater than 90 days	412,191		180,064
	$	2,133,249	$	1,234,183

As of June 30, 2011, the maximum amount of equity at risk (equal to the fair value of the collateral pledged in excess of the amount due) under repurchase agreements with any individual counterparty is $28,461.

Our repurchase agreement counterparties require us to comply with various customary operating and financial covenants, including, but not limited to, minimum net worth, minimum liquidity, and leverage requirements as well as maintaining our REIT status.  In addition, some of the covenants contain cross default features, whereby default under one agreement simultaneously causes default under another agreement.  To the extent that we fail to comply with the covenants contained in our financing agreements or are otherwise found to be in default under the terms of such agreements, we could be restricted from paying dividends or from engaging in other transactions that are necessary for us to maintain our REIT status.  We were in compliance with all covenants as of and during the three and six months ended June 30, 2011. Please refer to "Liquidity and Capital Resources" within Item 2 of this Quarterly Report on Form 10-Q for additional information related to these covenants.