Repurchase Agreements

3 Months Ended

Mar. 31, 2012

REPURCHASE AGREEMENTS [Abstract]

Repurchase Agreements

REPURCHASE AGREEMENTS

The Company uses repurchase agreements, which are recourse to the Company, to finance certain of its investments.  As of March 31, 2012, the Company had repurchase agreement borrowings outstanding with a weighted average rate of 0.59% with 20 of its 26 available repurchase agreement counterparties compared to a weighted average borrowing rate of 0.61% with 20 counterparties as of December 31, 2011. The equity at risk with each counterparty did not exceed 10% of shareholders' equity as of March 31, 2012.

The following tables present the components of the Company’s repurchase agreements as of March 31, 2012 and December 31, 2011 by the type of securities collateralizing the repurchase agreement:

	March 31, 2012
Collateral Type	Balance		Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	1,820,249	0.35	%	$	1,893,751
Agency CMBS	436,889		0.74	%	527,338
Non-Agency RMBS	10,761		1.84	%	12,603
Non-Agency CMBS	346,698		1.48	%	379,914
FHLMC unsecured note (1)	22,855		0.34	%	23,925
Securitization financing bonds (see Note 9)	48,746		1.68	%	57,545
	$	2,686,198	0.59	%	$	2,895,076

(1)    See "Other Investments" in Note 1.

	December 31, 2011
Collateral Type	Balance		Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	1,447,508	0.38	%	$	1,521,107
Agency CMBS	290,362		0.59	%	329,612
Non-Agency RMBS	12,195		1.85	%	13,597
Non-Agency CMBS	283,266		1.54	%	336,124
Securitization financing bonds (see Note 9)	60,462		1.65	%	67,872
	$	2,093,793	0.61	%	$	2,268,312

The combined weighted average term to original maturity for the Company’s repurchase agreements was 48 days as of March 31, 2012 and 57 days as of December 31, 2011.  The following table provides a summary of the original maturity as of March 31, 2012 and December 31, 2011:

Original Maturity	March 31, 2012		December 31, 2011
30 days or less	$	367,580	$	180,387
31 to 60 days	1,672,180		880,491
61 to 90 days	373,636		496,509
Greater than 90 days	272,802		536,406
	$	2,686,198	$	2,093,793

Some of our repurchase agreement counterparties, as set forth in the master repurchase agreement with the counterparty, require us to comply with various customary operating and financial covenants, including, but not limited to, minimum net worth, maximum declines in net worth in a given period, and maximum leverage requirements as well as maintaining our REIT status.  In addition, some of the agreements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders.  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, the counterparty has the right to accelerate amounts due under the master repurchase agreement. The Company was in compliance with all covenants as of March 31, 2012.