Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.23.1
Repurchase Agreements
 3 Months Ended
Mar. 31, 2023
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of March 31, 2023 and December 31, 2022, the Company had outstanding $9.1 billion and $8.6 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 5.11% and 3.95% and weighted average remaining maturities of 86 and 59 days as of March 31, 2023 and December 31, 2022, respectively. As of March 31, 2023, none of the Company’s repurchase agreements incorporated LIBOR as the referenced rate. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR.
At March 31, 2023 and December 31, 2022, the Company’s repurchase agreements had the following characteristics and remaining maturities:
March 31, 2023
Collateral Type
(in thousands) Agency RMBS Agency Other Non-Agency Securities Agency Derivatives Mortgage Servicing Rights
U.S. Treasuries (1)
Total Amount Outstanding
Within 30 days $ 1,371,533  $ 70,508  $ 58,528  $ 11,942  $ —  $ 200,766  $ 1,713,277 
30 to 59 days 1,546,940  —  11,578  —  —  —  1,558,518 
60 to 89 days 1,303,639  —  —  —  —  —  1,303,639 
90 to 119 days 2,401,387  —  —  —  —  —  2,401,387 
120 to 364 days 1,759,204  98,150  183  354  250,000  —  2,107,891 
Total $ 8,382,703  $ 168,658  $ 70,289  $ 12,296  $ 250,000  $ 200,766  $ 9,084,712 
Weighted average borrowing rate
 5.01  % 4.92  % 6.14  % 5.17  % 8.43  % 4.68  % 5.11  %
December 31, 2022
Collateral Type
(in thousands) Agency RMBS Agency Other Non-Agency Securities Agency Derivatives Mortgage Servicing Rights
U.S. Treasuries (1)
Total Amount Outstanding
Within 30 days $ 2,570,254 $ — $ 59,648 $ 4,177 $ — $ 57,116 $ 2,691,195
30 to 59 days 1,774,622 — 10,984 — — 375,131 2,160,737
60 to 89 days 2,280,675 — 177 503 — 255,282 2,536,637
90 to 119 days 696,283 — — 8,393 — 200,766 905,442
120 to 364 days — — — — 309,000 — 309,000
Total $ 7,321,834 $ — $ 70,809 $ 13,073 $ 309,000 $ 888,295 $ 8,603,011
Weighted average borrowing rate
 3.70  % —  % 5.73  % 4.83  % 7.91  % 4.49  % 3.95  %
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(1)U.S. Treasury securities effectively borrowed under reverse repurchase agreements.

The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements:
(in thousands) March 31,
2023		 December 31,
2022
Available-for-sale securities, at fair value $ 8,952,534  $ 7,426,953 
Mortgage servicing rights, at fair value (1)
430,821  667,238 
Restricted cash 77,429  324,654 
Due from counterparties 29,510  22,055 
Derivative assets, at fair value 15,309  14,738 
U.S. Treasuries (2)
195,290  877,632 
Total $ 9,700,893  $ 9,333,270 
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(1)MSR repurchase agreements are secured by a VFN issued in connection with the Company’s securitization of MSR, which is collateralized by the Company’s MSR.
(2)U.S. Treasury securities effectively borrowed under reverse repurchase agreements..

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 March 31, 2023 and December 31, 2022, 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.