Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.21.2
Repurchase Agreements
 6 Months Ended
Jun. 30, 2021
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of June 30, 2021 and December 31, 2020, the Company had outstanding $8.4 billion and $15.1 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 0.28% and 0.28% and weighted average remaining maturities of 78 and 58 days as of June 30, 2021 and December 31, 2020, respectively.
At June 30, 2021 and December 31, 2020, the repurchase agreement balances were as follows:
(in thousands) June 30,
2021		 December 31,
2020
Short-term $ 8,350,622  $ 15,143,898 
Long-term —  — 
Total $ 8,350,622  $ 15,143,898 
At June 30, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities:
June 30, 2021
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 2,086,324  $ 833  $ 11,453  $ —  $ 2,098,610 
30 to 59 days 1,298,004  —  20,322  —  1,318,326 
60 to 89 days 2,317,399  363  1,238  —  2,319,000 
90 to 119 days 1,346,855  —  9,768  —  1,356,623 
120 to 364 days 1,133,063  —  —  125,000  1,258,063 
Total $ 8,181,645  $ 1,196  $ 42,781  $ 125,000  $ 8,350,622 
Weighted average borrowing rate
 0.22  % 1.85  % 0.79  % 4.00  % 0.28  %
December 31, 2020
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 5,330,627  $ 1,271  $ 38,608  $ —  $ 5,370,506 
30 to 59 days 4,292,861  —  —  —  4,292,861 
60 to 89 days 2,060,087  628  1,519  —  2,062,234 
90 to 119 days 1,598,052  —  12,146  —  1,610,198 
120 to 364 days 1,808,099  —  —  —  1,808,099 
Total $ 15,089,726  $ 1,899  $ 52,273  $ —  $ 15,143,898 
Weighted average borrowing rate
 0.28  % 2.33  % 0.89  % —  % 0.28  %

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,
2021		 December 31,
2020
Available-for-sale securities, at fair value $ 7,830,079  $ 14,633,217 
Mortgage servicing rights, at fair value 295,112  — 
Restricted cash 679,279  1,071,239 
Due from counterparties 6,606  21,312 
Derivative assets, at fair value 50,416  61,557 
Total $ 8,861,492  $ 15,787,325 

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.
As of both June 30, 2021 and December 31, 2020, 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.