Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

v3.20.2
Repurchase Agreements
 9 Months Ended
Sep. 30, 2020
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements Repurchase Agreements
As of September 30, 2020 and December 31, 2019, the Company had outstanding $16.4 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 0.29% and 2.14% and weighted average remaining maturities of 83 and 77 days as of September 30, 2020 and December 31, 2019, respectively.
At September 30, 2020 and December 31, 2019, the repurchase agreement balances were as follows:
(in thousands) September 30,
2020		 December 31,
2019
Short-term $ 16,376,696  $ 29,147,463 
Long-term —  — 
Total $ 16,376,696  $ 29,147,463 
At September 30, 2020 and December 31, 2019, the repurchase agreements had the following characteristics and remaining maturities:
September 30, 2020
Collateral Type
(in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding
Within 30 days $ 3,754,489  $ —  $ 36,500  $ —  $ 3,790,989 
30 to 59 days 3,903,905  2,371  14,082  —  3,920,358 
60 to 89 days —  —  —  —  — 
90 to 119 days 3,644,581  —  —  —  3,644,581 
120 to 364 days 5,019,249  —  1,519  —  5,020,768 
Total $ 16,322,224  $ 2,371  $ 52,101  $ —  $ 16,376,696 
Weighted average borrowing rate
 0.28  % 2.30  % 1.02  % —  % 0.29  %
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) September 30,
2020		 December 31,
2019
Available-for-sale securities, at fair value $ 16,550,904  $ 29,575,948 
Mortgage servicing rights, at fair value —  530,222 
Restricted cash 456,898  919,010 
Due from counterparties 32,507  102,365 
Derivative assets, at fair value 66,785  68,874 
Total $ 17,107,094  $ 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 September 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.