Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.20.2
Repurchase Agreements
 6 Months Ended
Jun. 30, 2020
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of June 30, 2020 and December 31, 2019, the Company had outstanding $17.0 billion and $29.1 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps and caps, the repurchase agreements had a weighted average borrowing rate of 0.65% and 2.14% and weighted average remaining maturities of 47 and 77 days as of June 30, 2020 and December 31, 2019, respectively.
At June 30, 2020 and December 31, 2019, the repurchase agreement balances were as follows:
(in thousands) June 30,
2020		 December 31,
2019
Short-term $ 16,991,248    $ 29,147,463   
Long-term —    —   
Total $ 16,991,248    $ 29,147,463   
At June 30, 2020 and December 31, 2019, the repurchase agreements had the following characteristics and remaining maturities:
June 30, 2020
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 6,031,999    $ —    $ 38,983    $ —    $ 6,070,982   
30 to 59 days 5,009,742    807    12,388    —    5,022,937   
60 to 89 days 4,421,259    1,849    1,768    —    4,424,876   
90 to 119 days —    —    —    —    —   
120 to 364 days 1,472,453    —    —    —    1,472,453   
Total $ 16,935,453    $ 2,656    $ 53,139    $ —    $ 16,991,248   
Weighted average borrowing rate
 0.65  % 2.48  % 1.34  % —  % 0.65  %
December 31, 2019
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 5,112,681    $ 193,235    $ —    $ —    $ 5,305,916   
30 to 59 days 6,074,151    212,998    13,223    —    6,300,372   
60 to 89 days 6,355,887    329,493    1,905    —    6,687,285   
90 to 119 days 4,227,589    489,352    23,276    —    4,740,217   
120 to 364 days 5,532,219    306,529    12,310    262,615    6,113,673   
Total $ 27,302,527    $ 1,531,607    $ 50,714    $ 262,615    $ 29,147,463   
Weighted average borrowing rate
 2.08  % 2.90  % 2.70  % 3.51  % 2.14  %

The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:
(in thousands) June 30,
2020		 December 31,
2019
Available-for-sale securities, at fair value $ 17,300,640    $ 29,575,948   
Mortgage servicing rights, at fair value 151,634    530,222   
Restricted cash 364,028    919,010   
Due from counterparties 21,364    102,365   
Derivative assets, at fair value 72,103    68,874   
Total $ 17,909,769    $ 31,196,419   

Although the transactions under repurchase agreements represent committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. Additionally, certain repurchase facilities secured by MSR may be over-collateralized due to operational considerations.
As of both June 30, 2020 and December 31, 2019, the net carrying value of 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, with any individual counterparty or group of related counterparties did not exceed 10% of total stockholders’ equity. The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur.