Quarterly report pursuant to Section 13 or 15(d)

DEBT OBLIGATIONS (Details)

v2.4.0.8
DEBT OBLIGATIONS (Details) (USD $)
In Thousands, unless otherwise specified
6 Months Ended
Jun. 30, 2013
Weighted average life (years) 3 years 4 months 24 days
Collateral
 
Weighted average life (years) 3 years 6 months
Outstanding Face Amount of Collateral $ 1,967,197
Amortized Cost Basis of Collateral 1,724,321
Carrying Value of Collateral 1,742,864
Agency RMBS Repurchase Agreements
 
Month Issued Various [1],[2]
Debt face amount 1,061,250 [1],[2]
Carrying value 1,061,250 [1],[2]
Final stated maturity Jul. 01, 2013 [1],[2],[3]
Weighted average funding cost 0.39% [1],[2]
Weighted average life (years) 0 years 1 month 6 days
Agency RMBS Repurchase Agreements | Collateral
 
Weighted average life (years) 3 years 2 months 12 days
Outstanding Face Amount of Collateral 1,059,950
Amortized Cost Basis of Collateral 1,134,190
Carrying Value of Collateral 1,129,786
Non-agency RMBS Repurchase Agreements
 
Month Issued Various [1],[4]
Debt face amount 413,088 [1],[4]
Carrying value 413,088 [1],[4]
Final stated maturity Jul. 01, 2013 [1],[3],[4]
Weighted average funding cost 20.30% [1],[4]
Weighted average life (years) 0 years 1 month 6 days
Non-agency RMBS Repurchase Agreements | Collateral
 
Weighted average life (years) 3 years 9 months 18 days
Outstanding Face Amount of Collateral 907,247
Amortized Cost Basis of Collateral 590,131
Carrying Value of Collateral 613,078
Total Repurchase Agreements
 
Debt face amount 1,474,338 [1]
Carrying value $ 1,474,338 [1]
Weighted average funding cost 0.85% [1]
Weighted average life (years) 0 years 1 month 6 days
[1] (A) These repurchase agreements had approximately $0.5 million of associated accrued interest payable at June 30, 2013.
[2] (B) The counterparties of these repurchase agreements are Goldman Sachs $357.8 million, Barclays $266.1 million, Nomura $210.2 million, Citi $138.4 million, Morgan Stanley $65.8 million and Bank of America $23.0 million.
[3] (D) All of these repurchase agreements were renewed or refinanced subsequent to June 30, 2013.
[4] (C) The counterparties of these repurchase agreements are Credit Suisse $267.4 million, Barclays $97.9 million, and Royal Bank of Canada $47.7 million.