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Repurchase Agreements | 6 Months Ended
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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.

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- Definition The entire disclosure for repurchase agreements (also known as repos), resale agreements (also known as reverse repurchase agreements or reverse repos), securities borrowed transactions, and securities loaned transactions. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 140 -Paragraph 17 -Subparagraph a -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher SEC -Name Regulation S-X (SX) -Number 210 -Section 08 -Paragraph m -Article 4 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=7523297&loc=d3e113969-111729 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(m)) -URI http://asc.fasb.org/extlink&oid=6881521&loc=d3e23780-122690 + Details
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