Repurchase Agreements

9 Months Ended

Sep. 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 September 30, 2012, the Company had repurchase agreement borrowings outstanding with a weighted average rate of 0.63% with 21 of its 28 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 18% of its shareholders' equity at risk with one counterparty, Wells Fargo Securities, LLC, with whom the Company had $346,602 outstanding as of September 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 September 30, 2012 and December 31, 2011 by the fair value and type of securities pledged as collateral to the repurchase agreements:

	September 30, 2012
Collateral Type	Balance			Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	2,560,779		0.41	%	$	2,665,860
Agency CMBS and CMBS IOs	634,327			0.93	%	789,792
Non-Agency RMBS	11,042			1.82	%	12,761
Non-Agency CMBS and CMBS IOs	431,039			1.39	%	540,332
Securitization financing bonds	34,549			1.67	%	36,342
Deferred fees	(764		)	n/a		n/a
	$	3,670,972		0.63	%	$	4,045,087

	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 original term to maturity for the Company’s repurchase agreements was 52 days as of September 30, 2012 and 57 days as of December 31, 2011.  The following table provides a summary of the original maturities as of September 30, 2012 and December 31, 2011:

Original Maturity	September 30, 2012		December 31, 2011
30 days or less	$	1,663,679	$	180,387
31 to 60 days	898,021		880,491
61 to 90 days	472,705		496,509
Greater than 90 days	636,567		536,406
	$	3,670,972	$	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 September 30, 2012.