Repurchase Agreements

12 Months Ended

Dec. 31, 2012

REPURCHASE AGREEMENTS [Abstract]

Repurchase Agreements

REPURCHASE AGREEMENTS

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

	December 31, 2012
Collateral Type	Balance			Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	2,365,982		0.48	%	$	2,458,200
Agency CMBS and CMBS IOs	692,311			0.95	%	856,939
Non-Agency RMBS	7,808			1.84	%	9,634
Non-Agency CMBS and CMBS IOs	470,573			1.36	%	579,248
Securitization financing bonds	28,113			1.64	%	31,483
Deferred fees	(659		)	n/a		n/a
	$	3,564,128		0.70	%	$	3,935,504

	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 67 days as of December 31, 2012 and 57 days as of December 31, 2011.  The following table provides a summary of the original maturities as of December 31, 2012 and December 31, 2011:

Original Maturity	December 31, 2012		December 31, 2011
30 days or less	$	622,957	$	180,387
31 to 60 days	1,263,105		880,491
61 to 90 days	298,660		496,509
Greater than 90 days	1,380,065		536,406
	3,564,787		2,093,793

As of December 31, 2012, the Company had approximately 18% of its shareholders' equity at risk with Wells Fargo Bank National Association together with its affiliate Wells Fargo Securities, LLC. The borrowings outstanding with that counterparty and its affiliates as of December 31, 2012 were $366,130 with a weighted average borrowing rate of 1.35%. Of the amount outstanding with this counterparty and its affiliate, $196,520 is under a two-year repurchase facility with Wells Fargo Bank National Association. The facility provides an aggregate maximum borrowing capacity of $200,000 and is set to mature on August 6, 2014, subject to certain early termination provisions contained in the master repurchase agreement. The facility is collateralized primarily by Agency CMBS IO, and its weighted average borrowing rate as of December 31, 2012 was 1.47%. Shareholders' equity at risk did not exceed 10% for any of the Company's other counterparties.

As of December 31, 2012, the Company had repurchase agreement amounts outstanding with 19 of its 28 available counterparties. The Company's counterparties, as set forth in the master repurchase agreement with the counterparty, require the Company 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 the Company's 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 the Company fails to comply with the covenants contained in these financing agreements or is 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 December 31, 2012.