| Schedule Of Repurchase Agreements By Term, Short Or Long |
At June 30, 2017 and December 31, 2016, the repurchase agreement balances were as follows:
|
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|
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|
|
|
|
(in thousands) |
June 30,
2017 |
|
December 31,
2016 |
Short-term |
$ |
12,769,515 |
|
|
$ |
9,130,717 |
|
Long-term |
547,366 |
|
|
185,634 |
|
Total |
$ |
13,316,881 |
|
|
$ |
9,316,351 |
|
|
| Schedule of Repurchase Agreements by Maturity |
At June 30, 2017 and December 31, 2016, the repurchase agreements had the following characteristics and remaining maturities:
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June 30, 2017 |
|
Collateral Type |
|
|
(in thousands) |
Agency RMBS |
|
Non-Agency RMBS (1)
|
|
Agency Derivatives |
|
Commercial Real Estate Assets |
|
Total Amount Outstanding |
Within 30 days |
$ |
2,773,991 |
|
|
$ |
619,186 |
|
|
$ |
25,450 |
|
|
$ |
— |
|
|
$ |
3,418,627 |
|
30 to 59 days |
2,822,043 |
|
|
363,976 |
|
|
54,681 |
|
|
26,301 |
|
|
3,267,001 |
|
60 to 89 days |
2,086,688 |
|
|
161,544 |
|
|
2,711 |
|
|
— |
|
|
2,250,943 |
|
90 to 119 days |
2,036,674 |
|
|
317,846 |
|
|
— |
|
|
— |
|
|
2,354,520 |
|
120 to 364 days |
1,219,178 |
|
|
200,934 |
|
|
— |
|
|
58,312 |
|
|
1,478,424 |
|
One year and over |
— |
|
|
— |
|
|
— |
|
|
547,366 |
|
|
547,366 |
|
Total |
$ |
10,938,574 |
|
|
$ |
1,663,486 |
|
|
$ |
82,842 |
|
|
$ |
631,979 |
|
|
$ |
13,316,881 |
|
Weighted average borrowing rate |
1.23 |
% |
|
2.88 |
% |
|
2.01 |
% |
|
3.62 |
% |
|
1.56 |
% |
|
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|
|
|
|
|
|
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|
|
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|
December 31, 2016 |
|
Collateral Type |
|
|
(in thousands) |
Agency RMBS |
|
Non-Agency RMBS (1)
|
|
Agency Derivatives |
|
Commercial Real Estate Assets |
|
Total Amount Outstanding |
Within 30 days |
$ |
2,511,773 |
|
|
$ |
688,667 |
|
|
$ |
30,672 |
|
|
$ |
21,933 |
|
|
$ |
3,253,045 |
|
30 to 59 days |
1,786,664 |
|
|
334,590 |
|
|
68,257 |
|
|
28,991 |
|
|
2,218,502 |
|
60 to 89 days |
1,035,806 |
|
|
89,281 |
|
|
3,307 |
|
|
— |
|
|
1,128,394 |
|
90 to 119 days |
1,192,127 |
|
|
251,929 |
|
|
— |
|
|
— |
|
|
1,444,056 |
|
120 to 364 days |
810,552 |
|
|
69,678 |
|
|
— |
|
|
206,490 |
|
|
1,086,720 |
|
One year and over |
— |
|
|
— |
|
|
— |
|
|
185,634 |
|
|
185,634 |
|
Total |
$ |
7,336,922 |
|
|
$ |
1,434,145 |
|
|
$ |
102,236 |
|
|
$ |
443,048 |
|
|
$ |
9,316,351 |
|
Weighted average borrowing rate |
0.94 |
% |
|
2.60 |
% |
|
1.69 |
% |
|
3.16 |
% |
|
1.31 |
% |
____________________
|
|
(1) |
Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
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| Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets |
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:
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|
|
|
|
|
|
(in thousands) |
June 30,
2017 |
|
December 31,
2016 |
Available-for-sale securities, at fair value |
$ |
13,639,148 |
|
|
$ |
9,540,849 |
|
Commercial real estate assets |
882,978 |
|
|
648,885 |
|
Net economic interests in consolidated securitization trusts (1)
|
219,379 |
|
|
211,095 |
|
Cash and cash equivalents |
13,346 |
|
|
15,000 |
|
Restricted cash |
87,717 |
|
|
162,759 |
|
Due from counterparties |
17,914 |
|
|
48,939 |
|
Derivative assets, at fair value |
108,211 |
|
|
126,341 |
|
Total |
$ |
14,968,693 |
|
|
$ |
10,753,868 |
|
____________________
|
|
(1) |
Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
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| Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity |
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at June 30, 2017 and December 31, 2016:
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June 30, 2017 |
|
December 31, 2016 |
(dollars in thousands) |
Amount Outstanding |
|
Net Counterparty Exposure (1)
|
|
Percent of Equity |
|
Weighted Average Days to Maturity |
|
Amount Outstanding |
|
Net Counterparty Exposure (1)
|
|
Percent of Equity |
|
Weighted Average Days to Maturity |
Barclays Capital Inc. |
$ |
1,362,780 |
|
|
$ |
254,533 |
|
|
7 |
% |
|
74 |
|
$ |
292,086 |
|
|
$ |
164,315 |
|
|
5 |
% |
|
26 |
All other counterparties (2)
|
11,954,101 |
|
|
1,387,091 |
|
|
37 |
% |
|
100 |
|
9,024,265 |
|
|
1,271,086 |
|
|
37 |
% |
|
79 |
Total |
$ |
13,316,881 |
|
|
$ |
1,641,624 |
|
|
|
|
|
|
$ |
9,316,351 |
|
|
$ |
1,435,401 |
|
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|
|
|
____________________
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|
(1) |
Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both June 30, 2017 and December 31, 2016, the Company did not have any such payables.
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(2) |
Represents amounts outstanding with 24 and 22 counterparties at June 30, 2017 and December 31, 2016, respectively.
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