| Schedule of Repurchase Agreements By Term, Short or Long |
At September 30, 2021 and December 31, 2020, the repurchase agreement balances were as follows:
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| (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 |
|
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| Schedule of Repurchase Agreements by Maturity |
At September 30, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities:
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September 30, 2021 |
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Collateral Type |
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|
| (in thousands) |
|
|
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
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|
Mortgage Servicing Rights |
|
Total Amount Outstanding |
| Within 30 days |
|
|
$ |
1,712,411 |
|
|
$ |
524 |
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|
$ |
24,120 |
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|
|
|
$ |
— |
|
|
$ |
1,737,055 |
|
| 30 to 59 days |
|
|
61,442 |
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|
— |
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|
18,451 |
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|
|
— |
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|
79,893 |
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| 60 to 89 days |
|
|
— |
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|
— |
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— |
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|
— |
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— |
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| 90 to 119 days |
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|
1,310,649 |
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|
— |
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|
— |
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|
— |
|
|
1,310,649 |
|
| 120 to 364 days |
|
|
3,869,731 |
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|
205 |
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|
1,168 |
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|
125,000 |
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|
3,996,104 |
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| Total |
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$ |
6,954,233 |
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|
$ |
729 |
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|
$ |
43,739 |
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|
$ |
125,000 |
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|
$ |
7,123,701 |
|
Weighted average borrowing rate |
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|
0.18 |
% |
|
1.82 |
% |
|
0.71 |
% |
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|
|
4.00 |
% |
|
0.25 |
% |
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December 31, 2020 |
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Collateral Type |
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| (in thousands) |
|
|
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
|
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|
Mortgage Servicing Rights |
|
Total Amount Outstanding |
| Within 30 days |
|
|
$ |
5,330,627 |
|
|
$ |
1,271 |
|
|
$ |
38,608 |
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|
|
$ |
— |
|
|
$ |
5,370,506 |
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| 30 to 59 days |
|
|
4,292,861 |
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— |
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— |
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— |
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|
4,292,861 |
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| 60 to 89 days |
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|
2,060,087 |
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|
628 |
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|
1,519 |
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|
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— |
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2,062,234 |
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| 90 to 119 days |
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|
1,598,052 |
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— |
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|
12,146 |
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— |
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1,610,198 |
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| 120 to 364 days |
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|
1,808,099 |
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— |
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— |
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— |
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|
1,808,099 |
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| Total |
|
|
$ |
15,089,726 |
|
|
$ |
1,899 |
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|
$ |
52,273 |
|
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|
|
$ |
— |
|
|
$ |
15,143,898 |
|
Weighted average borrowing rate |
|
|
0.28 |
% |
|
2.33 |
% |
|
0.89 |
% |
|
|
|
— |
% |
|
0.28 |
% |
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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) |
September 30,
2021 |
|
December 31,
2020 |
| Available-for-sale securities, at fair value |
$ |
6,471,617 |
|
|
$ |
14,633,217 |
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|
Mortgage servicing rights, at fair value (1)
|
735,837 |
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|
— |
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|
| Restricted cash |
497,235 |
|
|
1,071,239 |
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| Due from counterparties |
285,865 |
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|
21,312 |
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| Derivative assets, at fair value |
43,783 |
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|
61,557 |
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| Total |
$ |
8,034,337 |
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|
$ |
15,787,325 |
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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 September 30, 2021 and December 31, 2020:
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September 30, 2021 |
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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 |
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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 |
|
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|
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$ |
15,143,898 |
|
|
$ |
527,045 |
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____________________
(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.
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