Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.21.2
Repurchase Agreements
 9 Months Ended
Sep. 30, 2021
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of September 30, 2021 and December 31, 2020, the Company had outstanding $7.1 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 0.25% and 0.28% and weighted average remaining maturities of 111 and 58 days as of September 30, 2021 and December 31, 2020, respectively.
At September 30, 2021 and December 31, 2020, the repurchase agreement balances were as follows:
(in thousands) September 30,
2021		 December 31,
2020
Short-term $ 7,123,701  $ 15,143,898 
Long-term —  — 
Total $ 7,123,701  $ 15,143,898 
At September 30, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities:
September 30, 2021
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 1,712,411  $ 524  $ 24,120  $ —  $ 1,737,055 
30 to 59 days 61,442  —  18,451  —  79,893 
60 to 89 days —  —  —  —  — 
90 to 119 days 1,310,649  —  —  —  1,310,649 
120 to 364 days 3,869,731  205  1,168  125,000  3,996,104 
Total $ 6,954,233  $ 729  $ 43,739  $ 125,000  $ 7,123,701 
Weighted average borrowing rate
 0.18  % 1.82  % 0.71  % 4.00  % 0.25  %
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) September 30,
2021		 December 31,
2020
Available-for-sale securities, at fair value $ 6,471,617  $ 14,633,217 
Mortgage servicing rights, at fair value (1)
735,837  — 
Restricted cash 497,235  1,071,239 
Due from counterparties 285,865  21,312 
Derivative assets, at fair value 43,783  61,557 
Total $ 8,034,337  $ 15,787,325 
____________________
(1)MSR repurchase agreements are secured by the VFN issued in connection with the 2019 MSR securitization transaction, which is collateralized by the Company’s MSR.

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.
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2021 and December 31, 2020:
September 30, 2021 December 31, 2020
(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
Credit Suisse
 $ 125,000  $ 328,262  12  % 182 $ —  $ —  —  % 0
All other counterparties (2)
6,998,701  319,409  12  % 110 15,143,898  527,045  17  % 58
Total $ 7,123,701  $ 647,671  $ 15,143,898  $ 527,045 
____________________
(1)Represents the net carrying value of the 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.
(2)Represents amounts outstanding with 16 and 20 counterparties at September 30, 2021 and December 31, 2020, respectively.
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.