Quarterly report pursuant to Section 13 or 15(d)

DEBT OBLIGATIONS - SCHEDULE OF DEBT OBLIGATIONS (Details)

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DEBT OBLIGATIONS - SCHEDULE OF DEBT OBLIGATIONS (Details) (USD $)
In Thousands, unless otherwise specified
9 Months Ended
Sep. 30, 2013
Debt face amount $ 372,000
Weighted average life (years) 3 years 6 months [1],[2]
Collateral
 
Weighted average life (years) 3 years 6 months [3]
Outstanding Face Amount of Collateral 1,896,773 [3]
Amortized Cost Basis of Collateral 1,672,767 [3]
Carrying Value of Collateral 1,689,994 [3]
Agency RMBS Repurchase Agreements
 
Month Issued Various [3],[4],[5]
Debt face amount 1,071,587 [3],[4],[5]
Carrying value 1,071,587 [3],[4],[5]
Final stated maturity Dec. 01, 2013 [3],[4],[5]
Weighted average funding cost 0.36% [3],[4],[5]
Weighted average life (years) 0 years 1 month 6 days [3],[4],[5]
Agency RMBS Repurchase Agreements | Collateral
 
Weighted average life (years) 2 years 10 months 24 days [3],[4],[5]
Outstanding Face Amount of Collateral 1,067,063 [3],[4],[5]
Amortized Cost Basis of Collateral 1,130,533 [3],[4],[5]
Carrying Value of Collateral 1,124,451 [3],[4],[5]
Non-agency RMBS Repurchase Agreements
 
Month Issued Various [3],[5],[6],[7]
Debt face amount 53,475 [3],[5],[6],[7]
Carrying value 53,475 [3],[5],[6],[7]
Final stated maturity Oct. 01, 2013 [3],[5],[6],[7]
Weighted average funding cost 1.84% [3],[5],[6],[7]
Weighted average life (years) 0 years 1 month 6 days [3],[5],[6],[7]
Non-agency RMBS Repurchase Agreements | Collateral
 
Weighted average life (years) 5 years 3 months 18 days [3],[5],[6],[7]
Outstanding Face Amount of Collateral 100,411 [3],[5],[6],[7]
Amortized Cost Basis of Collateral 77,108 [3],[5],[6],[7]
Carrying Value of Collateral 75,667 [3],[5],[6],[7]
Non-agency RMBS Term Repurchase Agreements
 
Month Issued Aug 2013 [3],[7],[8]
Debt face amount 342,872 [3],[7],[8]
Carrying value 342,872 [3],[7],[8]
Final stated maturity Aug. 01, 2014 [3],[7],[8]
Weighted average funding cost 2.43% [3],[7],[8]
Weighted average life (years) 0 years 9 months 18 days [3],[7],[8]
Non-agency RMBS Term Repurchase Agreements | Collateral
 
Weighted average life (years) 4 years [3],[7],[8]
Outstanding Face Amount of Collateral 729,299 [3],[7],[8]
Amortized Cost Basis of Collateral 465,126 [3],[7],[8]
Carrying Value of Collateral 489,876 [3],[7],[8]
Total Repurchase Agreements
 
Debt face amount 1,467,934 [3]
Carrying value $ 1,467,934 [3]
Weighted average funding cost 0.90% [3]
Weighted average life (years) 0 years 3 months 18 days [3]
[1] (C) The weighted average life is based on the timing of expected principal reduction on the assets.
[2] (G) The total outstanding face amount was $16.4 million for fixed rate securities and $2.0 billion for floating rate securities.
[3] (A) These repurchase agreements had approximately $0.1 million of associated accrued interest payable at September 30, 2013.
[4] (B) The counterparties of these repurchase agreements are Goldman Sachs $45.9 million, Barclays $287.7 million, Nomura $229.0 million, Citi $133.0 million, Morgan Stanley $97.1 million and Daiwa $278.9 million and were subject to customary margin call provisions.
[5] (C) All of the repurchase agreements that matured during October 2013 were renewed or refinanced subsequent to September 30, 2013.
[6] (D) The counterparties of these repurchase agreements are Barclays $21.8 million, and Royal Bank of Canada $31.6 million and were subject to customary margin call provisions.
[7] (E) All of the Non-Agency repurchase agreements have LIBOR-based floating interest rates.
[8] (F) Represents a one year term master repurchase agreement with Alpine Securitization Corp., an asset-backed commercial paper facility sponsored by Credit Suisse AG. This repurchase agreement is not subject to margin call provisions and is subject to customary loan covenants and event of default provisions, including event of default provisions triggered by a 50% market capitalization decline provision, as well as a two to one indebtedness to tangible net worth provision. The financing bears interest at LIBOR plus an applicable margin as stated below (See Schedule of maturities of repurchase agreements)