Repurchase Agreements

6 Months Ended

Jun. 30, 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 June 30, 2012, the Company had repurchase agreement borrowings outstanding with a weighted average rate of 0.62% 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 Company had approximately 11% of its shareholders' equity at risk with one counterparty, Wells Fargo Securities, LLC, as of June 30, 2012. The shareholders' equity at risk did not exceed 10% for any of the Company's other counterparties.

The following tables present the components of the Company’s repurchase agreements as of June 30, 2012 and December 31, 2011 by the fair value and type of securities pledged as collateral to the repurchase agreements:

	June 30, 2012
Collateral Type	Balance		Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	2,162,480	0.40	%	$	2,239,357
Agency CMBS and CMBS IOs	468,322		0.81	%	536,268
Non-Agency RMBS	14,575		1.82	%	16,582
Non-Agency CMBS and CMBS IOs	425,241		1.41	%	520,751
Securitization financing bonds	41,306		1.61	%	50,395
	$	3,111,924	0.62	%	$	3,363,353

	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 and CMBS IOs	290,362		0.59	%	329,612
Non-Agency RMBS	12,195		1.85	%	13,597
Non-Agency CMBS and CMBS IOs	283,266		1.54	%	336,124
Securitization financing bonds	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 50 days as of June 30, 2012 and 57 days as of December 31, 2011.  The following table provides a summary of the original maturity as of June 30, 2012 and December 31, 2011:

Original Maturity	June 30, 2012		December 31, 2011
30 days or less	$	1,076,065	$	180,387
31 to 60 days	1,168,159		880,491
61 to 90 days	536,687		496,509
Greater than 90 days	331,013		536,406
	$	3,111,924	$	2,093,793

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 June 30, 2012.