We have also entered into “to-be-announced” (“TBA”) positions to facilitate the future purchase of Agency RMBS. Under the terms of these TBAs, the Company agrees to purchase, for future delivery, Agency RMBS with certain principal and interest specifications and certain types of underlying collateral, but the particular Agency RMBS to be delivered are not identified until shortly before (generally two days) the TBA settlement date. At December 31, 2012, we had $40.0 million net notional amount of TBA positions with a net weighted average purchase price of 104.5%. As of December 31, 2012, our TBA portfolio had a net weighted average yield at purchase of 2.36% and a net weighted average settlement date of March 12, 2013. We have recorded derivative liabilities of $0.1 million reflecting TBA positions.


The investment portfolio is financed with repurchase agreements as of December 31, 2012 as summarized below:

Repurchase Agreements

Maturing Within:




Average Rate


Average Maturity

% Repo

30 Days or Less $ 2,525,200,001 0.83% 15.3 60.2%
31-60 Days 783,969,000 0.52% 44.5 18.7%
61-90 Days 547,416,000 0.57% 70.7 13.1%
Greater than 90 Days   337,178,271 1.30% 125.7 8.0%
Total / Weighted Average $ 4,193,763,272 0.78% 36.9 100.0%

The Company has entered into repurchase agreements with 30 counterparties. We continue to rebalance our exposures to counterparties, add new counterparties and extend original maturities. We increased our original maturity to 87 days as of December 31, 2012 from 79 days as September 30, 2012.

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